How you use them depends on you. I use mine for martial arts and just do everything with it on. They're great for running and exercises like dips, pullups, pushups, crunches, etc.
The best one out there I've seen is at
www.weightvest.com. You can get the vest off of ebay, but for some reason it's cheaper to buy it off of the site. Another popular one is called the X-vest, but I don't like it as much and I think it's too expensive.