It's done using new, sealed, sterile hypodermic needles. Choice Medical Supply, on Capitol Hill, is very play-piercing-friendly, and a box of 100 needles costs less than $20. There are different sizes--I prefer one-and-a-half-inch long, in gauges ranging from 18 to 25. The lower the number, the thicker the needle, and thicker needles are more painful. There is usually bleeding when needles are removed, and bigger needles tend to cause more bleeding, and bruising, than smaller ones. That's not necessarily a bad thing--just a point of information.
The needle isn't pushed straight into someone, as if they were getting an injection or having blood drawn. Instead, it's inserted sideways through a fold of skin, so that it comes out the other side, essentially parallel to the body. Here's how I do it: I pinch up several layers of skin--not muscle, though. I then position the needle, and, after making sure my finger is clear on the other side, I push it through. Then I repeat as desired. I've stuck four needles in someone and felt satisfied, but it's not uncommon to do 10, or 20--or more. Some frequently pierced areas are the chest or outer arms, the thighs, and the back. I have pierced other places, including faces and genitals, but I'm a pervert with a lot of advanced training.
Having merely read this column, you're not qualified to run out and stick someone. Piercing is advanced play and requires in-person instruction. The website www.sexuality.org has an events calendar that includes local BDSM workshops, and if you're interested you should watch for piercing classes.