The method I use involves only a crochet hook and a comb.. Many people use the same method with a different technique and a different result. When looking for a loctician I strongly advise to be wary of anyone that intends to use wax on your hair, (basically sticking all your hair together so it looks like a dread - until you wash them) or insists they will take a few weeks/months to mature and then start to 'look good', or that a perm is necessary beforehand or to cement the process. If they are done right they should look great from the start and through regular washes, and not break or become loose. There are however loads of different methods, some of which I have listed below.
Usually this method would involve getting a few friends around and going to work basically. You will usually need some form of wax to keep them in place and will need to be reapplied after washing, but go easy on the wax. If you are going to go it alone the best thing I can suggest for this method or any DIY style is be really aware or the sectioning, you cant undo it. The last thing you want is a big centre part down the middle of your head, it looks awful, will become very uncomfortable as they grow, and should be avoided at all costs! It will take a while so be patient!
Wool Sweater or Wool Hat rubbing
I have actually seen this technique look not too bad but it is a lot of work and will hurt a bit. It produces very thin dreads which will be prone to breaking later on and the dreads will take ages to reach maturity, 1 year at least of very messy hair. Take a wool sweater, gloves or hat and rub it in circles on your head for a couple of minutes until knots start to form. As the hair knots together you then rip it apart and try to separate it into dreads. Repeat this process over and over and over until all your hair is knotted. Careful not to damage the hair too much as you can damage the follicle.
The neglect method is pretty much just that. Just let it grow and hope for the best! If you really truly want dreads there are better methods than this. If you insist on doing it this way the only reasoning I can imagine is for surfers who's hair is going that way anyway and for minimal maintenance. If this is the case I can only attempt to encourage you to at least wash them really regularly. It will help keep them separated into actual dreads not just one big mono-dread. After a wash at least try and separate and guide them (you will be thankful later as it will cause great pain when they all start to lock together) Twisting your fingers around these sections that have naturally broken away as a dread whenever you are relaxing wouldn't hurt either.
This really does damage the hair and you will end up with curly weird looking dreads. If requires sectioning the areas that you would like to be dreaded. Backcomb the hair and then wrap around a special perm curler and apply the solution. Many salons charge big money to do this.
Twisting can work on Afro textured hair along with a setting gel, it will hold until a wash and help the hair bond together. Not a lasting solution for Caucasian or Asian hair.