1) Add your bacon fat to an approximately equal amount of water.
2) Melt over low or medium-low heat.
3) Pour through cheese cloth or some other filter. (Coffee filters are too fine, btw.)
4) Put in a refridgerator.
5) The fat will float to the top of the water, cool, and harden. Lift the fat cake off of the water. Discard water.
6) Remelt the fat with water again. You don't need to filter it a second time. I like to do this twice. You want the water to not have any flavor.
Your lard should be white at this point. It will still smell somewhat bacony.
A good recipe is:
50% lard
20% coconut
25% olive
5% castor
You can get the olive oil, coconut oil and castor oil at Wal-Mart.
Here is a page from Kathy Miller's site.
http://www.millersoap.com/soapanimal.html
Her recipes are quite large - about 7 lbs. You can plug her numbers into soapcalc, then reduce it so you get the same proportions but a smaller batch.
I am not clear if you just want to make one batch as an experiment, or if you want to get a bit more "involved". If you just want to make one batch, you can probably get lye at your local hardware store. Not a big-box store, but a small locally-owned place. It will be with the drain cleaners and it will say 100% lye.
If you want to scent this soap, you can get small quantities of essential oils at health food stores for a decent price. Good ones to start out with are lavender, mint, lemon grass and eucalyptus. Clove and cinnamon will make your soap seize - meaning they will make it get very very thick very fast, so I dont' recommend them for your first time.
ETA: If you want, you can make your soap with no other oils but lard. It will not be very bubbly, but it will be gentle and moisturizing and make a very hard bar. The only thing you MUST have besides your cleaned bacon grease is lye.