Wanted to comment on yossarian's answer, but ran out of characters.
I have some planks that I always soak overnight, which work great and rarely catch on fire. Went to a friend's house this past weekend and soaked them for 2 hours, which is past the 1 hour "recommended" time. They flared up bad within 5 minutes, to the point where we couldn't even really salvage the plank with a sprayer. I highly recommend 8 hours minimum, preferably overnight as well.
Speaking of sprayer, you'll want to keep a small spray bottle of water nearby to deal with any flare-ups around the edges - with the lid closed, the flame will climb higher than when it's open, and the planks are likely to catch at least once or twice if you're not careful (or even if you are!). Keep an eye on it, nothing like going inside for 5 minutes and coming back to a charred mess.
I recommend making sure your plank is large enough that you have 1" of clearance around all sides of the fish, in case there is a flare-up, the edges of your fish don't burn. I've experimented with keeping one side of the grill turned on, and keeping the plank on the side that's turned off, but I've gotten much better results keeping the plank side lit, on low, and just keeping a close eye on it.
Once done soaking, I lightly pat dry (with a paper towel) the side that the fish will be on, then brush it with oil so the fish doesn't stick.
You definitely want to weigh them down as yossarian suggested. Some people recommend an aluminum can from your pantry, however, I've found that this leaves rust rings sometimes, especially when soaking overnight. What I usually do is take a large casserole dish, fill with water, put plank in, put a smaller casserole dish on top, and fill that one with as much water as necessary to hold the plank down.