Righto, henceforth it follows, with pictures forthcoming if needed / if I can be bothered.
A note about materials: This definitely works with carbon steels. Stainless steels seem to be more of a mixed bunch - some work, some don't. Using sulphuric acid instead of salt water works with stainless, or so I hear. My blade is stainless, and as you can see it worked fine with salt. As for other metals, they work but with other etchants. I'm sure a metallurgist could give me some guidance here. It may well be that you need to substitute the salt water for something else.
1.
Think about your design. Relatively complex designs work well, but need equally complex scratching skills from you, so it may not be a good idea if you have wobbly hands. Large blocks of etch often look good, but they are hard to get even, as Mr von Slatt found out on his iPod etch. Larger areas tend to get a buildup of dark oxide, which makes them stand out more. However, this needs care in order to make it consistent. Smaller areas just cut into the metal and look like deep engravings.
Also, think about whether you'll be able to get a cotton wool pan in to where you're planning to put the etch without getting bits you don't want to get

Consider disassembly if your item has lots of metallic parts, or if it is in some way electronic. Water + electronics = not good.
2.
Plan out your design. Method A (simple hand-drawn designs): Work out how big it needs to be, then draw it onto card. This is a good time to think about proportions, positioning and suchlike. Take your time now, as it cannot be undone once etched! Make a copy if you like, then cut out one lot to act as a template. Depending on how your design goes, you may want a positive template (ie. the template is of what you want etching) or a negative template (ie. the template is of what you don't want etching). Keep this for later (step 3).
Method B (complex computer-generated or picture based designs): send it to a vinyl cutter (if you have one) as a negative, and keep for later (step 3). Alternately, do it with the fancy photoresist method used by Jake von Slatt (
http://steampunkworkshop.com/ipod.shtml). This requires some lesser-seen chemicals, but nothing too fancy. In this case, you will have your design already on your metal thingy, so you can go straight to step 4, hurrah.
3.
Masking. Method A (from a normal template): Degrease your metal with soap. Take some nail varnish. Any type of substance will do. Apply two thin, even coats, allowing it to dry in between. I found that one coat was too thin, and that more than two made the scratching process overly hard. Now lay your template over the top, and using a sharp point, such as a compass of the extra pointy variety, trace around the edges. Do this carefully. Once you have gone around the whole design, you may discard the template, or perhaps stick it to your window as a cheap and uninteresting feature. Now use a tool to scratch off the varnish in between your outlines. I used a fountain pen nib, a small screwdriver might be good. The compass could also be used but I wanted to keep scratching to a minimum. Use tape to mask off the rest of the vicinity (leave a bare bit to attach the electrickery to). Once you have done the whole design (check that you haven't missed anything), you may go to step four, my darling.
Method B (from a vinyl template): Peel vinyl. Stick vinyl. Tape off rest. Step 4!
4.
The etching itself! Make a saturated solution of normal salt, using about two pinches. You don't need much at all. Obviously, if you are etching, say, a car or a suit of armour, you need more, but I expect you knew that. Get a 9V battery (12V will do, other DC electricity sources are equally useful) and two wires. A battery connector and two crocodile clips will help, but are not essential. Attach one wire to each terminal of the battery, and attach the positive to your piece. Take a cotton wool pad (or even a bud / Q-tip) and attach that to the negative. Dunk your cotton implement in the salt water and squeeze it out. More salt water = more aggressive etching, but also more chance of it dripping somewhere where it will do untold damage. Now press the pad onto the bit you want to etch. You should hear a fizzing noise as hydrogen (I think) is given off. Perhaps collect it and use it to refill your aerostat. Every 20 seconds or so, have a check to see how well it's going. I had a good finish after about 40 seconds, but your experience will vary greatly.
5.
Final touches. Dry everything off, take off the nail varnish with acetone, and admire your handiwork

Some polishing will make it look shinier, and steel wool can be used to take off some of the oxide should you not like the way it comes out.
Hope that helps

I am by no means an expert, but I'll try and answer questions. For inspiration and alternate techniques, I refer you to
http://steampunkworkshop.com/ipod.shtml,
http://steampunkworkshop.com/altoid-etch.shtml and
http://www.britishblades.com/forums/showthread.php?t=52558.