They're very simple - sow the seed in a tray or pot of compost and leave outside in a sheltered spot. I don't cover primula seed with compost - I leave it on the surface. When large enough to handle prick out and pot on as they grow. Hopefully you'll have flowers in a year or so's time.
They like lots of organic matter in the compost, and damp semi-shade.
Further to above - lots of info here http://www.barnhaven.com/growing
As Dove says, I think that the key is, leaving the seeds uncovered.
I found that the best germination is when they are sown green. as soon as they come out of the pods, sow them into trays. Dried out seed does not germinate very well. This may mean that to get decent seed, you need to buy a plant first or find a friend with some .
I certainly get far better results from self sown seeds, than I do from collected seeds.
Last time I sowed primulas I used a mix of John Innes seed compost with some added home made leafmould. It worked for me