Now that you've got your wonderful new 'locks, you need to care for them, otherwise you will die. You don't really have dreads yet, just tangled bits of hair, it'll take a few months, maybe years, before you can be said to have dreadlocks.
You're gonna need a couple of things, number 1 among them a nit comb. Now, what you have to realise is that you no longer technically have hair per se, instead you've got monstrous great ropes that, given time and care, will be quite capable of strangling the life our of anyone who gets in your way, so you shouldn't buy any crappy semi-plastic combs because you'll just end up showering yourself with deadly shrapnel. Go to the pet store and buy something made entirely of metal and wood with stupid great bolts sticking out all over the place. For a while at least you'll also need dread wax, though while this helps keep them together in the short term, in the long term it'll just stop them from tangling up properly. Oh, and a crochet hook and a constant supply of salt water (use the beach if convenient, otherwise bottle the stuff and store it in your house. If you've got no beach nearby just dissolve kitchen salt in water). And aftershave, the cheapest nastiest you can find.
Ok, now, your goal is to turn your currently tangly and ropy hair into real dreads. This takes time and dedication.
Each day, back-comb a few dreads. This means grab the end and comb towards the roots, starting near the scalp and moving out slowly, pushing the tangle closer to the scalp with each stroke. Twist the dread as you go, or you'll end up with 2-D dreadlocks. Do this about twice to every dread over a period of a few weeks, when you get to the end of each dred just go crazy with the comb until it knots up. If you need to trim the tips, cut diagonally so that it still twists to a good point. For the first few weeks, seal the ends with dread wax, but after that, using this stuff is counter-productive as it allows the hairs to slide over one another rather than matting up good.
As I said, you don't have hair any more, so stop thinking like you do. Almost everything that your mother told you not to do to hair you're going to have to get into the habit of doing. Wash it with salt water, and don't rinse it out. Develop a nervous habit of rolling your dreads through your fingers, tangling the ends more. If they get smelly, tip aftershave over your head (only be careful - don't do what I did and tip a whole bottle of aftershave over your head. It ran in rivers of fire down my back). The only time you should be gentle with your dreads is when you're doing something that might untangle them, like drying your head or running through trees.
As your hair grows, and the area around the roots becomes straight and untangled, grab the crochet hook and, seperating off a small part of the dread (thus making a hole near the base) pull the dread through this hole, thus making a knot by your scalp. Do this as your dreads get longer, putting the knot at a different angle each time.
meanwhile, several years later: Congratulations, you now have dreadlocks.
Note: I thoroughly recommend dreadlocks, especially for geeks like myself. Once established they require little care, never get in your face (or if they do you can just tie them in knots), and, done properly, look great. Unfortunately they increase your chances of not being taken seriously by people with money and egos, based purely on your appearance, but hey.