I've done some pyrography myself, although never went as far as buying purpose-made equipment, I only used my precision soldering iron. It's doing great nonetheless, I'll add some pictures later, as my best pieces were presents for family and I don't have photos available.
Anyway, probably the most important thing is, as Fraxinus wrote above, that you must'nt inhale the smoke. It's hot, and it's likely it contains a fair amount of carbon monoxide, maybe some tar as well, so it's not doing you any good. I use a half-face gas mask with twin filters, but lighter gear could be enough, especially if you don't lean over the piece too close. Also, I recommend doing it outdoors, as the smoke smells too.
I can't add much on the equipment part, the guys above covered it pretty well, but there's another important thing, the pattern itself. For simple, flat pieces you can draw/sketch it on the piece itself, but on curved surfaces it can be a bit a problematic. I usually draw the picture on paper first, smooth it out on the piece, and transfer the pattern to the wood by going over it with a needle/nail.
Oh, and one last thing: you can do much more with a simple pointed iron than you first imagine. Learned it the "hard" way
