The specifics depend on what program you use to edit your photos.
I use Photoshop and in that I create a text layer by clicking on the text icon, write in my name etc and adjust the blending mode. You can also just alter the opacity of the text.
Here is an example of mine...
[img[http://farm3.static.flickr.com/2461/3962803143_5778ef2258.jpg[/img]
Click to EMBIGGEN