Read Kill Bed Bugs at Home: Do-it-yourself Bed Bug Extermination for an overview of the process. You’ll also want to read Bed Bug Extermination: Can you get rid of bed bugs on your own?.
If you read those and came back here, you might be saying “Hey — I wanted information on do-it-yourself bed bug extermination, not warnings!” Understood. But maybe you haven’t spent enough time on the web doing research to learn about other people’s DIY experiences?
There is a good chance that “do-it-yourself bed bug elimination” is really more like “do-it-yourself the first time around and then call the exterminator back when that doesn’t work out like you thought it would”. I’m making a little joke here but seriously, DIY bed bug elimination doesn’t have the best track record. Even professionals find it difficult to exterminate bed bugs. Exterminating bed bugs is not the same as dealing with ants, cockroaches or termites. Bed bugs are hard to kill.
I spoke with an exterminator about DIY bed bug extermination a while back. He told me that many times people will call him out to assess their situation. After they hear the cost involved they sometimes decide they’re going to try to take care of the problem on their own. A short time later (and after plenty of stress and frustration), those same people will call him again and hire him.
If you are really bent on doing the job yourself, your best bet is to plunk down a few bucks for Bed Bug Handbook: The Complete Guide to Bed Bugs and Their Control, available from the invaluable Techletter.