I didn't want to jack Joe's thread on his beautiful Fox sign step by step, but I thought I post an old one I did. His happened to remind me of this one. It's not a step by step, but it shows the carving and finished piece.
I encourage anyone to give carving a try. It's not as hard as you think, so long as you start with a few basics, right tools, you don't have to spend a fortune on a basic starter set, and an ample supply of patience. No matter how good your carving skills are, it will always come down to good solid design. Crap designs makes crap signs no matter how great you can carve or paint.
I think there may be some youtube videos to watch and I know there are books. I say everyone should start out with a nice house sign or house number to cut your teeth on. Have at it, and have fun.