I use a propane plumbing torch. Nothing fancy, just a Bernz-O-Matic type. Sand the call to 220 grit first, then torch it lightly. I do it with the lathe spinning so I get a really consistent burn on the call. Some guys do it without the lathe running and that works too. The challenge, no matter what your method, is getting it burned in a way that fades from dark to light. You have to be very careful, as Ben said, to keep the call from getting too hot or you're guaranteed that it'll crack. I use compressed air to cool it down between applications of flame, which usually (not always) helps me avoid substantial cracking.
After burning it and letting it cool, sand again with 220. You'll use a lot of sandpaper because the charred wood will clog the paper pretty quick. Then sand through the rest of the grits you usually use.
When applying finish, the darker burned spots will really soak up the finish. So plan for that. Usually the first coat or two will soak in and not build like it does on the less burned parts, so a couple extra coats will probably be in order depending on what your finish is.