It is called a sub-dermal anchor, I have 2 of them. First they start with a hollow needle, punch out a hole in your skin, with the same needle creat 2 pockets under the skin, grab the jewelry, and push the base into the pockets. I'm suck and explaining the process but here is a GREAT video showing the process.I plan on myself getting both my cheeks done like the girl in the video. I have dimples, why not?
http://www.youtube.com/watch?v=afQRTC3TUF0