Not too much to it really. Turn off your amp and give the tubes time to cool off. For consistency I always allow 15-20 minutes, but in all reality, they will cool faster.
Be careful when removing the tube. Gently rock it from side to side while bringing it out of the socket. The rocking is actually where the phrase "tube rolling" originated from.
Line up the pins of the new tube with the socket and gently press it into place. Just be gentle. It doesn't take much force.
Turn on amp and enjoy!
Just a note, I tend to avoid touching my tubes with my bare hands, i use latex gloves. I do this to keep any oil from my fingers off the glass. The glass heats up pretty good sometimes and any oil, or whatnot, on the glass could possibly aide in the glass cracking. This is just me, so please don't take it as a must do. I have, on many occasions, used my bare hands. I just try not to.