Although I've not done this (YET) I have done a bit of research on it. I'm planning on dry-aging a whole prime rib for Christmas roast this year. My plan was (as Landarc said) to wrap in cheesecloth. From what I've read about it, this will need to be changed once in a while.
I understand that it CONCENTRATES the flavor of the meat (but as I said...never done it myself), so you'll get a much more intense beef flavor. THIS can't be bad, right? Beef=GOOD.
Do you plan to carve steaks off of it or roast it whole (like a PR)?