Steve,
I'm fairly new to the hobby and have only participated in a few RR's, but I'll tell you based on my experience.
1. You need to have a good-sized group of chips you want to trade and that are in good enough condition that someone will want to add them to their collection. There shouldn't be any duplicates in the group. The RR's I've participated in have come to me with between 75 and 200 chips.
2. Decide what the rules of your RR are going to be. Is it just for $1 chips? Fractionals? Non-Nevada? Mixed denomination? This is usually determined by what you collect and what you're trying to add to your collection.
3. Decide how many people you are going to allow in the RR. Remember, the more people, the longer the RR takes to make its way back to you.
4. Put out a call for participants. This board is a good place. Be sure to post a follow up message when you've reached the limit for number of particpants.
5. Schedule the route of the RR. Who gets it first, second, etc. (Remember to include yourself as the last participant!)Once you've determined who is included, e-mail everybody with a list of everyone and the order the RR is to follow.
6. Put together your package. This should include something to hold the chips and keep them from rattling around during shipment. Some people use chip tubes and others use boxes designed to hold chips.
Your package should also include shipping labels for each participant to use to send the RR on the way to the next participant. It makes it easier if both the recipient and sender's names are on the labels so the sender knows they're sending to the next person in line.
It's also a good idea to enclose a list of all the participants, their addresses & e-mails, the order of the RR and who the originator is. Also include a copy of the rules of your RR, since most people are participating in several at once.
7. Some people include pages listing the chips that the RR starts out with, a place to indicated who removed each chip and additional room to write new chips added. This gives you a record of who added and removed what. Some people don't include this paperwork. As a participant, it sometimes helps me identify where a chip came from.
8. Send it out and monitor its progress through posts on the Chip Board (tell your participants to post here when they send the RR on to the next guy or gal). Be patient. It takes these things a lot longer to make the rounds than you would think.

That's all I can think of...maybe these guys who have been around longer can add to what I've said.
Good luck!