A sabiki rig consists of a main line in which there are 6 to 8 dropper lines attached. Attached to each dropper line is a hook with a piece of fake fish skin. At the bottom there is usually a snap swivel where you attach a weight and at the top there is a swivel that you can attach to your main line.
The little hooks are dynamite at catching all kinds of baitfish. The best way to use them is to drop the sabiki down to the bottom. Once at the bottom jig it up and down a few times in a slow manner. If you don't get anything after a little bit, jig it up higher and higher in the water column. Once you get a fish on, you can either let it sit to see if a few more won't bite or you can just reel the bait up.
Another good thing to do is put a couple pieces of shrimp or squid on the bottom two hooks for those baits that won't just eat the sabiki itself.
When fishing for big baits make sure you have a sabiki made of stronger line. Also use a heavy weight or else the baits will tangle the sabiki.
To store your sabiki after use you can get a piece of foam and wrap the sabiki around a piece of foam and then put that in a plastic bag or now they make rods that are hollow in the middle so you can just reel the sabiki right up into the rod.