I didn't ever used to block - was too lazy. But I always block now. It makes your knitted piece so much easier to handle, easier to sew up, you can put it back into the right shape - and the pins look pretty!
Find an old blanket or use an iron board as your base
place the knitted piece on top
Pin and shape it
Use a steam iron and steam the knitting over the top without touching it with the iron
Leave until it has dried naturally, overnight if possible