I do mine when the engine is warm (not too hot to touch). Take all the spark plugs out at once. Open the throttle and choke. Take the coil wire off. Insert your tester adaptor into the first plug hole and make sure it's pretty hand tight. Turn the engine over with the key a few turns until the gauge won't go any higher. That's your dry compression for that cylinder. Write it down and move to cylinder number 2, depending on the engine you have and the cylinder order. Once done with all cylinders note if any variances more than 10 - 15%. If so then squirt a teaspoon full of oil (no more) into each spark plug hole and test them again. This is a wet compression test. If you notice a big difference in your numbers for the cylinder(s) in question, then your rings are probably worn or the cylinder wall is scored. If no change then possible bad valve or head gasket.
That's how I do it anyway.