Installing a new set of pedals is a fairly simple process, but it is very important to know that the left (non drive side) pedal is reverse-threaded while the right side is threaded regularly. And, due to the threading of the spindles, and also to the design of the pedals, they are right and left side specific. Once you have identified which pedal is which, apply some grease to the threads and screw the spindle into the crankarm. Most pedals use an 8mm hex, although some outliers use a 6mm hex or a 15mm pedal wrench, to tighten them down. You generally want to get pedals fairly tight, and Shimano recommends a torque range of 35 – 55 Nm for their pedals, for example.
It is important to note that you can damage your pedals and/or your crankarms if you cross-thread them during installation or try to install the wrong pedal on the wrong side of the cranks. The pedal should thread into the crankarm very easily, and if it does not, don’t force it! You should stop and check the alignment of the threads to avoid any potentially expensive problems.