If you don't want pockets, just skip ahead... These took me the most time, mostly because I decided to reverse-engineer the kind of pocket that I wanted. I'm sure it's online somewhere though....
Cut out a welt (either from a pattern, or just... cut out a rectangle.), and also cut out interfacing for it (to give it some body), a little smaller. You want the welts to be about 1.25" tall when they're sewn in, and however wide (mine are 5" ish), so just add 1" to each dimension to give enough space for sewing it up. (I had 6" wide by 3.5" tall.) Make sure the interfacing is more like the finished size, 'cause folding it over makes it hard to sew.
Then, iron the interfacing on {edit: I cheated here, and just ironed it straight on without all the foreplay described in step 4. Way faster, it's so small an area.}, and then fold the welt in half and iron the edge. Fold in the short edges at a good spot in the pattern and then fold the welt in half, hot dog style, and pin the edges into place. Now the only unfinished part should be the bottom. Be careful about matching the pattern of the fabric...
Now place your welt where you'd like a pocket to be on the vest.