To start, you'll need to make the toe of the sock. There are several ways to cast on the stitches. I'm particularly fond of the Figure 8 cast on since you only need two double pointed needles and you can adjust the tension as you work.
Instructions for the Figure 8 cast on can be found at:
http://www.wiseneedle.com/patternpage.asp?pattern=knitpatksox (Search for 'no sew cast on')
or
http://www.knitty.com/ISSUEwinter02/FEATtiptoptoes.html
You'll need to have 16 stitches divided into 8 stitches on each needle. Now you're going to divide these stitches onto three needles and increase up to 12 stiches on one needle, 12 stitches on the second needle, and 24 stitches on the last needle. To do this, I recommend using the "bar increase." A google search will bring up instructions on how to do this increase. If you test this increase, you'll see that it leaves a small horizantal bar in your knitting. This bar is how you're going to keep track of your increases.
To increase, use the bar increase on the first stitch of your round, continue knitting until you have five stitches on that needle, and then switch to another needle. The needle you just placed five stitches on is now called needle one. Knit using another needle until you reach the next to the last stitch, and preform the bar increase. This should result in evenly spaced increases. Knit the last stitch. You're going to repeat this process on your third needle (increase on the first and the next to the last stitch) to finish the round. Knit one round plain.
Alternate increase rounds and knitting a round plain until you have twelve stitches on needle one as described above. Now, you can start the pattern. This is a simple spiraling tube pattern which makes the socks fit a little better.
K = knit P = purl
K3 P3
P1 K3 P2
P2 K3 P1
P3 K3
K1 P3 K2
K2 P3 K1
Try the sock on after you have cycled through the pattern twice. You want to continue the spiralling pattern until you can fit the sock over your heel. Once you have reached that point, you can switch to simple K3, P3 ribbing.
To cast off, you can simply use your preferred cast off but be sure to do it very very loosely. Another option is to use a stretchy bind off. The link below has instructions for one such bind off. It produces a slightly lacy edge. To preform this bind off with K3, P3 ribbing, simply have your next to the last row be K3 (increase of some sort) P3 or K3 (increase of some sort) P3 (increase of some sort.) Remember to slip the increase stitches and not knit them.
http://www.socknitters.com/Tips/stretchy.htm
You can do these socks on any number of stitches that are divisible by 3. The 12 stitch version will fit my feet which are a large US 8 1/2. The ribbing will make the sizing forgiving. You can eek out two socks out of one ball of Wool-ease yarn on US 5's.
So, you say, you want to do the socks with a real heel? There's several patterns available. I'm fond of the one linked below :
http://65.254.41.66/putmeon.htm
On a normal worsted weight yarn on US 6's the listed pattern there is a bit small for my feet. I did a version with a cast on of 8, increase to 12, 8 stitches for the gusset, 9 slipped over, decrease to 8, pick up 9, and then reduce down to 12, and the pattern worked fine. There's also a generic pattern on the sock listed there. The nice thing about using 3 needles and the pattern I linked to is that the eventual "top" of the sock is the third needle with the large number of stitches on it. This means that you don't get a 'ladder' of loose stitches from the gap in your needles going up the top of the sock.
