Get one with a kief catcher, put a quarter on top of the screen that the actual bud falls onto, grind some bud up, shake the grinder in a circle for a little bit, the longer the better, drop it on the floor a few times so the kief that gets stuck to the screen falls into the bottom.
youtube it. EastCoastToke has a thread of videos explaining all aspects of smoking. There are quite a few videos on PollenBoxes. search is your friend.