It really isn't a good idea to self pierce. If you are really intent though then you would need to buy some specialist things just to make it safe and reduce the risk of infection (the first that springs to mind is the need for a hollow needle, don't pierce anything with a safety pin).
This wikihow deals with a normal nose piercing but the directions are a more or less the same for the septum. You do need to get the correct clamp as you will need to put a lot of force into it to get through the septum and want to avoid stabbing your nose on the other side once it pops through.
The pain will be intense and much worse than if a professional does it for you.
http://www.wikihow.com/Pierce-Your-Own-Nose
After all is said and done and considering the purchases you would need to make you will probably find it safer, cheaper and less painful if you visited a licensed piercer.
Good luck and let us know how you get on