My newborn daughter has a strong need to be held and rocked to sleep. In this answer, Dan notes that it is important to help your child learn how to fall asleep without being rocked to sleep. At what age should this start, and what are good methods of helping with this?
The process you are talking about is called "sleep training" and there are a lot of approaches to it. In general the aim is to make your child learn to fall asleep on its own.
I can refer you to babycenter's sleep problems page where you can find a lot of information about the methods you can use.
In general there are two groups of methods: no tears and cry-it-out (aka controlled crying). The first assumes that you do not want your baby to cry at all during the process and it is recommended for parents with strong backs because there will be many pick-up/put-down 's (PUPD). Just kidding, couldn't help myself.
The second group contains all methods where you let your baby cry for some time before trying to soothe it. It is either limited crying, where you let the baby cry for 1, then 2, then 3, then 5, then 10 minutes, and so on, or just... Leave the baby to cry itself to sleep. The last one is for the most strong-willed parents.
I think that habits for sleeping should be established very early on. Not for the child, at first, but for the parents. Weak ambient light during night, curtains closed during sleep-time even if it's bright outside (important during summer long days), not reacting immediately to baby's crying - but only after you've learned your baby's kinds of crying - for example react immediately to panicky-terrified cry, but very long if the cry is just fussing.
Our routine: bath, teeth/gums, change of clothes, a few children's books, lights out, story about the day, 5 minutes of silent companionship, say bye-bye and wave, go out. Works 90% of the time for us (works=we don't go into her bedroom again and she falls asleep on her own). We started the routine very early, adjusted it a few times, but in general stuck to it. And it worked for us. We didn't actually need proper sleep training ("baby boot camp" as sbd called it;), our daughter seemed to understand the routine at around 4 months.
As for other evening routine activities - consult this question: What are some do's and dont's for an effective bedtime ritual? There's a lot of great information. Choose some elements and stick to them. Your baby's not going to understand a book you read, but will eventually learn the routine and it will help her fall asleep.