First of all, if you knit you need to be on Ravelry. Unfortunately I tend to spend more time on Ravelry then I do actually knitting!
I started with this:
For future reference - the hank ended up being 5 ozs of 3 ply fingering divided into three 40 inch sections for a total of 120 inches. The end result should be self-striping yarn suitable for a pair of socks.
I used several online references for instruction on how to dye the yarn. I opted to use KoolAid for my first attempt as it was cheap and easily available - and nontoxic. Some of the references I used are: knitty.com and Streets and YOs. There are many other resources online as well.
Once I had the yarn wound all in one hank I soaked it overnight. I did add vinegar to the water, although I don't think it was necessary when using the KoolAid method of dyeing.
I decided on three colors: green (lime), purple (grape), and orange (orange).
I decided to use the hot water bath method. I filled a large pot about 2/3 of the way full with hot water. I then put the canning jars with the dye into the pot.
I brought the water in the pot to a boil and then simmered the pot until the water in the jars was primarily clear.
I rinsed the yarn in the water that was in the pot to avoid shocking it and risk felting.
Once the yarn cooled I drained it.
And then hung it to dry. 
I made myself a niddy noddy so I could wind the dyed yarn into a hank solely for the purposes of photographing it. I used the directions here: Niddy Noddy Instructions and made this:
Unfortunately I removed the ties on the hank too soon and ended up with this:
But with lots and lots of patience and time I ended up with this:
And then this:
I will definitely doing more dyeing in the future. I have on order some Jacquard Acid Dye from KnitPicks as well as the book Teach Yourself Visually Hand-Dyeing.
