Heavy bag work makes for a great workout, it’s intense, fun, great stress relief and good excercise. However like all excercise routines if you don’t protect yourself, you could end up hurting yourself. In the same way you wouldn’t think about taking up track without shoes, for hitting the bag you need handwraps and gloves.
First you need to get some handwraps (this should be obvious)
If they are cheap ones you got at a local fitness store and are about 8 ft long, go back to step one and try again 
Really there are 2 basic styles, both of which need to be pretty long. There is the standard cotton style, and the Mexican style which have a little elasticity in them. I prefer the Mexican style as I find them more comfortable, a more snug fit, and less likely to slide around.
As far as wrapping goes, there really is no one set way, everyone will show you a little different, but the basic idea is still the same. Since we all like the protection in different places, and have differently shaped hands you will probably end up finding a way that works for you. Until then, imitate what others do, but don’t think of it as “this is the PROPER way”, there are many. Basically you want to support the hand to protect it, whatever your hands need is the proper way.
First spread your fingers, this will help keep you from wrapping to tight and cutting off circulation to your hand. When you make a fist, it will be bigger then when your hand is open, so stretch it out. Wrap snug, but not tight, and if it feels like your hand is cut off from blood, unwrap and try again a little looser. Likewise, if it feels loose and like it is going to fall off, unwrap and do it again a little tighter.
First the loop goes over your thumb, and wrap it around your wrist.
Wrap it around your wrist a few times, the exact number isn’t important, and is partially dependent on your hand size and the length of your wraps
Now take it up and over the knuckles, then back down to the wrist
And around the thumb. This can be done all the way around, half way, then around the hand and half way again, whatever you like. If you are using MMA gloves and have a tendency to catch your thumb, you might want to go a little heavier on the thumb, (or tuck your thumb in better)
From there I go around the wrist again
And then from the thumb through the fingers
Then go around the knuckles once more, and use whatever is left to go around the wrist and close it off
Hand wrapping is not hard, but it may take you a few times to get the hang of it. But do everyone a favour and spend some time getting it right. It protects your hands, and saves your partners some annoyance as you spend 10 mins trying to get your hands wrapped at the beginning of each session