Basic steps for Agile software development methodology

There is a screencast series called Autumn of Agile, that gives an introduction to the agile principles. There are not that many episodes out yet, but the episode plan looks like this:

• Agile Values and Practices Overview
• Basic OO Design Principles
• Design Patterns In Action
• Unit Testing Basics
• Mock Objects
• TDD
• Project File/Folder Organization
• Source Control Basics
• Continuous Integration / Build Automation
• Agile Project Planning Principles
• Overview of Domain Driven Design Core Concepts

You're not agile or not, you're more or less agile.

To start getting more agile from what you're already doing,

• visualize more (metrics on screen, visual board, etc)
• get more feedback and shorten feedback loops (CI, code metrics, bug metrics, etc)
• reduce the amount of simultaneous work in progress (WIP) - i.e., reduce multi-tasking both on individual and team level

If you're able to try something new I'd recommend Kanban. It's the least prescriptive and most flexible agile tool, and you just start by visualizing your work flow and limit your WIP.