So, it's time.
Be patient. If at first you don't succeed, don't blame yourself or your camera. Not all flakes are created equally. Some just aren't nicely formed and will not produce a decent photo no matter how hard you try. A snow crystal's shape and "photographability" are totally dependent on weather conditions. Remember this. If you go out and don't see any nicely shaped flakes in 2 or three minutes, go back inside and try again later. You can read about what makes the snow crystals shaped the way they are in lots of places.....it's fascinating stuff - but I digress.
There are some folks who have a whole elaborate microscope/camera setup. That's not me. I'm more interested in the art of a snowflake against a colorful wool or earthy background, than I am a scientific look at every intricate detail of a crystal.
Things you'll need: (or at least what I use.....)
Flat surface to let flakes fall onto. I use the hood of my car.....or I'll sit on a stool using my legs as the flat surface. Either way, bundle up, becuase you're in it for the long haul, right?
A scarf or other woolly piece of material. Could be anything that the snowflake will show up on. I use pieces of wool, because I like the colors and textures. Lay this on your flat surface. It's good to have an extra or two so you can swap out and shake off the first one, replacing it with a clean slate. Keep alternating.
Camera with macro lens or a P&S camera with super macro abilities - I've had success with the macro lens, but prefer the super macro feature of my el cheapo Canon P&S. It's easier to hold and keep still. Your call.
As the flakes fall, find an isolated one that has potential and get as close as your lens will allow. Just experiment. Stray flakes in the way of your gem can always be cloned out later if need be.
You're going to have to crop. These things are small. Here's a reminder of just how small they are.....

If you look at the wonderful crystal that is in the upper right of the photo, maybe you can see that it's a dumbbell shape with a rod connecting 2 hexagonal plates? Those are really cool. Watch for those.....I digress again.
So, I hope that's enough to get you started. Come back with questions.