An industrial piercing, sometimes called scaffold piercing (UK) or construction piercing, is any two pierced holes connected with a single straight piece of jewelry.

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[edit] Steps

Go to a reputable piercing parlor.
They will Sterilize your ear and all the equipment. Autoclave all your equipment.
They will mark on your ear and draw the angle you want on your ear. Make dots where the holes will go.
They will take a hollow needle, and pop it through the first hole.
Leave the needle in, clench your teeth, and pop it through the next hole.
Take two small studs and put them through either side of the piercing. (captive hoops are preferred)
Clean them with an anti-bacterial substance no more than twice a day, and no less than once every two days for about a month.
After the holes have healed nicely, stick the bar through. The bar bell should be inserted as the ear is pierced, not later. This will help with the alignment of the holes. Can take up to ONE YEAR to totally heal. MUST be cleaned everyday till healed.

[edit] Tips

Do both holes in one go - this makes it easier to get the right angle, and reduces the risk of the bar applying too much pressure to one side, and rejecting. However, piercing with two needles has benefits because the first needle will dull after the first hole.
Put your hair up after! Show it off!
Polysporin helps it heal amazingly. Just coat the bar, and stick it through the holes. Repeat daily.(The piercing community has decided that polysporin and similar actually can cause more damage then good, so use with extreme caution! You are better off with a simple salt water soak [1/8tsp of sea salt, not table salt, in 8oz of warm water])

[edit] Warnings

Don't do both ears at the same time. What side of your head are you supposed to sleep on?
Always sterilize equipment.
Don't pierce under the influence of drugs or alcohol.
Self piercings are very risky, go to a professional to make sure you have a clean, properly placed piercing!