they're no fun your first time, you gotta make sure you keep track of all the parts. i use hi-temp wheel bearing grease from ACE, i think Phil Wood is probably the best, you might find it at a good bike shop, or that red grease, can't think of the name...
here's a few sites that take you through it:
Park Tool Website
Bicycle Coaster Brakes
and then this guy takes it to the extreme, but i don't like all of his recommendations: Overhauling a Coaster Brake Bike