I've never done it, but plan to this spring. I have a few avocado sprouts in the compost to work with. Here are some links to get you going:
Video: Grafting Avocados Gene Joyner Unbelievable Acres Palm Beach Rare Fruit Council
Article: Budding and Grafting Citrus and Avocados

Mr Clint,
Thank you for your response, it was better than what I was expecting to get so I really appreciate it sir. I will begin my attempt soon and was also wondering if there is any time of the year it would be better or could you just do it any time of the year? I still havent had a chance to see the whole video and maybe it gives instructions on there. Thanks again Mr client.
Hijole

It makes the most sense to do your grafting in the spring when temps are moderate and you have the full season with no risk of frost ahead of you.

I'm going to try a number of different methods including allowing a seedling to get 2"-3" thick so that I can bark graft three scions to it. The main thing is to gather your tools together, get a number of seedlings started and practice your scion cuts now.

Read up, practice, experiment and have fun.

I know this is an old post but does anyone have a suggestion on a good book for budding and grafting?
Thanks.
Larry