In order to start your own pyrography projects you only need two things.
I got my pen at a local craft store for about $20. Make sure you get one that has a variable temperature knob. It allows you to do so much more as you start making larger and more intricate designs.
Craft stores will also carry an assortment of wood. Avoid cheap wood and wood with knots as it will burn differently.
First you have to decide what piece of wood you want to use and what design you want to burn. Once you have decided that you can either freehand your drawing or use transfer paper to copy it over perfect. Make sure you use pencil and keep it as light as possible.
Choose the finest tip you have and use that to trace all the lines. If you have a variable temperature pen keep it as low as possible where you still get a burn.
Move the pen quickly and don't burn it too dark. You want to get your basic design on the wood, you can always burn darker.
Choose a tip that is slightly larger and screw it into your pen, making sure to let the pen completely cool before touching it.
Retrace everything slowly darkening all the lines you have already made. If you have a variable temperature pen, make sure it is turned all the way up. This will give your drawing definition and help the important parts stand out after you shade.
Choose a tip that is more rounded. The rounded tip will let you cover more area and not have as direct a burn
Move the pen quickly and slowly darken the areas you want to be shaded. If you have a variable temperature pen you can adjust the temperature to have a darker or lighter shade.
Once you're happy you can stain or clear coat the wood to get a nice finish.