The first question may be - WHY?
Simple - to balance the color of your flash with ambient light.
When shooting with flash under incandescent lighting your subject will often be too blue and background too orange. A correction filter (gel) will make the light from the flash warmer to match the incandescent lightning. There are also filters available to match fluorescent lightning (green) and for special effects.
Excellent info can be found here: http://strobist.blogspot.com/2006/03/lighting-101-using-gels-to-correct.html
Some flashes come with dedicated filters, some people use Velcro to attach filters to the flash. I will share my way how to do it.
Step 1: Materials
* a compatible flash. The flash needs to have a protrusion at the back so the filter does not fall out. Nikon SB600 SB800 and probably others work great but check your flash before proceeding.
* color correction filter kit. Search for "strobist" on ebay.
* Piece of clear plastic film that will maintain its form when bent.
* Clear "Scotch" tape
* 10 min of your free time
Step 2: Measure and Cut the Holder
Place your flash on the plastic film so it covers the bottom 1.5 cm (1/2 inch) of your flash.
Trace around with a sharp object. I used a blue marker so YOU cold see it better in the pictures.
Draw some flaps that will hold the plactic to the flash.
Cut out and fold.
Attach to your flash with tape.
Step 3: Enjoy Your Color Corrected Flash!
Cut the filters according to the size of your flash head.
Then just slide the filter in the pocket. They are held secure in place. I have never lost a filter this way. They are cheap to replace anyway. One strobist kits costs around 7$ and is enough for 4 or 5 complete sets of filters.
If your flash does not have the necessary protrusion, use the velcro method instead.