I'm too squeamish.
However, I can see the attraction of a pierced septum, so, what the heck - I tried it.
This was supposed to be painless, but it hurt. A lot.
Step 1: Materials and tools
I had a pair left over from my ROV Instructable, but they are easy to obtain anyway (don't you love ebay?).
Apart from that, you will need something to put "through" your septum. Pick something suitable for where and when you intend to wear it, maybe a chicken bone for that cave-man look, a long bolt for that trip to the hardware store.
I intend this to be a wind-up-the-pupils-near-the-end-of-term accessory, so I am going to use a pen.
You will also need a variety of normally-in-the-shed tools - fine-toothed saw, file, glue-gun and something to snip bamboo.