You can dry your herbs simply by washing them, patting them dry and laying them on a cookie sheet of some other flat surface and allow them to air dry.
You can tie 5-8 stems together and place them in a paper bag with holes punched in it. Hang up-side-down in a cool dark area for 2 weeks.
You can place them in the oven on a baking pan at 180 degrees for 2-3 hours.
You can also use a food dehydrator. This is what I did. Wash herbs under cool water.
Herbs aren't generally all that expensive at the store. But, it is awesome to have fresh herbs right at your finger tips while cooking. I also love the idea of using dried spices that came right out of my own garden.
Linked to Frugal Friday at Life as Mom.