Instructions for each kind of luggage lock may vary slightly, so it's always best to consult the owner's manual for your particular luggage. However, most of them operate in very similar ways. You should have the factory preset combination number somewhere in the materials that came with your luggage, if you purchased it new. You will need this in order to reset the combination to a number of your choosing.
Line up the numbers according to the factory preset combination. This is typically an easy number, like 1234, 0000 or 1111. There may be a line indicating where you line up the numbers.
Pull up the shackle when the lock opens, and turn it 90 degrees.
Hold the shackle down in this unlocked position, while you line up the numbers in a sequence that is easy for you to remember, but hard for others to guess.
Write the number you've chosen down in a secure place. You may wish to e-mail it to yourself so you can access it online from anywhere. Some luggage companies offer a registration option on their website that allows you to create a user account that stores your combination.
Press the shackle firmly back into the body of the lock, and move the number dials so it no longer displays your combination. This should lock it securely.
Your combination lock may have a reset button at the bottom that can be pushed in, if you forget the combination and need to choose a new one. However, reset buttons make locks less secure, since someone trying to break into your suitcase could push the button. The Transportation Security Administration (TSA) may wish to open your luggage if anything inside it appears suspicious upon scanning, or if you have given them reason to be concerned. Many locks are now TSA-approved, meaning they are able to be opened with the key you get when you buy the luggage, and a master key that only the TSA has access to. This way, the TSA can open your luggage without breaking the lock.
If you don't remember your combination and there is no reset button, you will likely have to have the lock cut off and purchase a new one.