We've done them for the last couple of years to great success.
Basically, we stick a sweet potato in a glass jar full of water, let it get scummy, keep it filled up, and you can see the roots start to grow. After a while, it'll sprout leaves, and you can pluck those off and set THEM in water to start growing roots. They're ready to plant when they've got a second set of leaves on 'em.
Some people just chuck a whole sweet potato in the ground, like you would for growing regular potatoes. I haven't done that, and I honestly really enjoy the process of sprouting roots and leaves from one momma potato.
As far as depth of planting -- you plant the little guys like you would any seedling. They vine out a little so you want to give them some room, and you want the soil to be loose and a bit sandy so they can get big without getting smooshed and weird shaped.