There are many different types of short rows, and each particular method may be done differently by each knitter. The Wrap and Turn method is the only one I have used thus far, but I am interested in learning some of the other methods. Below are some links to other types of short rows, as well as a video on how I do the wrap and turn. I hope this helps. If you know of other ways to work short rows, feel free to post a comment!
The basic idea on short rows is, knit (or purl) the designated number of stitches, and then turn and work those same stitches again. You will have unworked stitches left on the needle. Continue knitting and turning as your pattern directs.
If you want to wrap your stitch before turning:
On a Knit side: Leave the working yarn at the back of the work, slip the next stitch on the left needle purlwise to the right needle, bring the working yarn to the front of the work, slip the stitch back to the left needle, turn and continue knitting - your yarn should be in front of the work, assuming your next row is a purl row. Don't pull the yarn too tightly around the stitch - you just want to wrap it in a hug, not strangle it to death. To hide the wrap, you need to knit it together with the stitch it is wrapping. When you reach the wrapped stitch, insert the right needle into the wrap and then into the stitch and knit them together. It may be easier to do this if you put the wrap onto the left needle beside the stitch.
On a Purl side: Leave the working yarn at the front of the work, slip the next stitch on the left needle purlwise to the right needle, bring the working yarn to the back of the work, slip the stitch back to the left needle, turn and continue knitting - your yarn will be at the back of the work, assuming your next row is a knit row. To hide the wrap, you will again need to purl the wrap and the stitch it wraps together. I find it easiest to slip the wrapped stitch to the right needle, pick up the wrap with the left needle, then slip the stitch back to the left needle and purl them together.
Japanese Short Rows: if Nona Knits then you can too
German Short Rows and W&T: from Ravelry
Short Row info of all kinds: from TECHknitter
Making and Common Uses: from Knitpicks
The reason I decided to make this video is because short rows are how my potato chip scarf is knit (Flutter Scarf pattern is here on the post after this one). Other than just messing around and trying to figure things out, this is the first project I have used short rows on.
Here is my video: