We learned (by eavesdropping in on the girls Japanese class at school) that we need to throw beans at the devil. So, I bought a devil mask, a mistletoe, and a bag of dried soybeans (mame). We turned on James's shortwave radio and happened to find a Japanese/English lesson that repeated the directions of Setsubun over and and over and over. Our Japanese is no better now, but our English sure is getting worse.
The first direction we followed was to find out who the oldest person in the house was. That's James. He had to eat 33 beans (of course, I only had to eat 23). We threw the rest out the door and into the corners of the house while chanting Oni wa soto! (Demons, get out!) and Fuku wa uchi! (Good luck, come in!). I threw a few at the devil (James) and then we sat down to eat the biggest, fattest sushi rolls I've ever seen. Each roll must have weighed 5 kilos and when I got them after school I was elbowed by a few moms in the most easy going, yet forceful way possible, who wanted to make sure they got their own Setsubun rolls. James was disappointed there was no football on the TV for this holiday and I know I'll be picking up beans off my floor for weeks.
Of course, there are always websites that give more knowledgeable and accurate descriptions of non-gaijinized Setsubun.