INTRO:
Pyrography is the burning of sketches or drawings into wood. Color is sometimes added with oil pencils after the burning is complete, but it is normally kept to a minimum.
Although some skill is required, good work on pieces is mostly gained through practice and one will learn their own style and best ways to get the results they desire.

The biggest dangers involved are:

Burning one's self with the iron,
Burning anything else that should not be burnt (most pencil style irons have no off switch with the iron, and no ON indicator lamp).
Sawdust getting into the eyes.
Using improper wood and asphyxiating one's self.

The equipment and materials we will be using include

A pyrographer's iron
A metal stand for the iron
A standard multi-faced tip for the iron (as you become proficient, you can add specialty tips)
Some sandpaper (150-180 fine grit if only a light sanding is needed, 80-100 medium grit if some ridges need removed from the wood). It is best to wear some kind of eye protection when doing any sanding of wood.
Some carbon paper may come in handy as well as a sketchpad and tracing paper is helpful too
A WELL ventilated work place.
Wood, something flat, and untreated. Many art stores and craft stores will carry Basswood for this purpose (this is best). Do NOT use pine. It emits a very corrosive smoke when burnt/scorched, and it will not do your lungs any good at all. Besides that, it is very hard to burn a decent line into pine as you come across sap pockets, and moisture pockets. The burn is very hard to control.
and possibly some Oil based colored pencils

Although there is already an Instructable on making a Laser wood burning pen I thought it would be useful to show how to do that actual burning, especially if you are not able to make the laser burner and need to use a standard iron.

PS: I will be adding more info to this in the coming weeks, but I had promised this for so long now, I felt the need to finally get of my horse and get this published. I hope you find it useful.

Step 1: Preparation

The first step is to prepare the wood for a clean even burn. If the Basswood is a bit rough, take some 80-100 grit sandpaper to it (use a sanding block to keep it even). If the wood is not very bumpy, go over it with the 150-180 grit fine sandpaper, just to get a nice even smooth surface to work with.
This is where you need the safety glasses or goggles to keep from getting splinters of wood in your eye(s).
Blow off the dust. Next we need a drawing or sketch.

Step 2: The Sketch

Sketch up whatever it is you wish to burn onto the wood, on some tracing paper. No need to make it overly detailed at this point but if you want to add the detail to give you a better idea of how you wish to burn it, go ahead. .
Once this is finished, place the carbon paper on the wood (carbon side down), and the tracing you did over it as you wish it to appear on the wood (as you get better with the iron OR if you are able to make decent sketches directly onto the wood, these steps will be able to be skipped). Retrace only the outlines and major portions of your sketch, so that a light carbon copy is made on the wood. This becomes the outline to follow.

The horses head is how I "want" it to look when finished. The second picture is of an example of another burning I did, and this was the outline on the tracing paper.

Step 3: Fire Up the Iron

Now, after putting away the carbon paper (some of it can be a bit flammable), we are ready to get started.
One more preliminary step: If you haven't placed your iron on the "stand" and plugged it in yet, do so now. Wait a few minutes while it heats up. If you have a scrap piece of wood nearby, you can occasionally test it by holding the tip to the wood for a second or two. Immediate scorching means the iron is ready.

Grip the iron firmly but gingerly, much like a pencil is held. Do not "strangle" you iron. It will make it harder to burn properly, and eventually you will "feel the heat" of the iron coming through a too tightly held handle :-) The picture gives a close approximation of how I hold the iron "most of the time". There will be times you will have alter the grip to get the effect you wish.

Step 4: Getting a Real Start in Pyrogaraphy.

Start where ever you wish but make sure you "draw" the pen, and not "push it" (some like to burn from the top down, some like to from the middle out; I personally like to do the outline first and then fill in details as I feel the need).
The tip that came with the iron has several uses: a point, for fine work, a "blade edge" for line drawing, and a flat edge for area burning; that is, for burning or shading a larger area at a time then the finer parts of the tip could. Start slowly but not too slow (it is best to do a bit of practicing on smaller, cheaper pieces of wood) keeping your "pace" or drawing you iron, steady and even. You will find that it is easier to either draw towards yourself or from side to side; each person seems to have their own preference (although, you may have to do both at times).
Turning the wood is better then trying to "push" the iron.
Complete the outline and the major portions of the drawing / carbon image and then take a few minutes to just look at it. This is like the foundation of a building. You will want to build on this some.
But also remember, sometimes too much detail can ruin an otherwise great piece. You will learn with practice when to stop (probably after spending many hours on a piece, and then putting one one "last" touch, ruins the whole thing - it happens to the best pyrographers, so it will definitely happen to you and me ;-) ).

The truck shows lines drawn left to right, but if you were doing trees (for example) you would turn the wood "on it's side".

Step 5: Filling in the Gaps.

Shading, filling, and too much detail should be avoided when just starting to learn this art form. Later, as you get better, you will want to "feather", shade, add depth, and many other details and there are special tips out there to help with these, but they are largely unnecessary. The one tip I have worn out more of then any is the fine point. It wears down quickly and soon you are nearly burning without any tip at all (if you aren't careful, the tip gets short, you tilt the iron a bit and end up burning with the barrel or the barrel nut.
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Step 6: Keep Your Tools Clean :-)

Some advice: If the tip being used gets to discolored, it will not transfer heat well. However, excessive cleaning of tips, wears them down much faster. Keep a damp sponge nearby, preferably one that is "anchored" somehow, so you can draw the tip across it now and then. This will clean of carbon build up without the need to sanding away the copper tip.

Remember the iron is hot, it not only burns wood, but skin is especially susceptible to burns. Keep the iron's point off the wood until you want it to be burning. Lift it, move it, slide it as quickly as you can without rushing, or you will pit the wood with deep burns.

And finally, below I have gotten a picture of my latest Pyrograph. It is not as good as I could have done back when I could see detail better.