There are many ways to dye. My favorite method is kettle dyeing where I submerge fibers in water, add color, add heat, then add citric acid and more heat.
However, non-immersion dyeing is also very popular. This method can be done using an open pan on a stove top, microwaves, crock pots, solar ovens, etc. Usually a dye stock solution is mixed up and the solution is squirted onto fiber that is already soaking in an acidic solution (soaked in citric acid or vinegar).
Whichever method you choose please remember to have separate pots for dyeing and cooking.
An excellent discussion on non-immersion dyeing is being held at: http://www.ravelry.com/discuss/greener-shades-dyes/1214904/1-25
What is your favorite way to dye?