How do you do vanishing magic trick?

There are several ways of vanishing objects, either by using sleight of hand or a gimmick. For making coins or other small objects disappear with sleight of hand, check out J.B. Bobo's book: Modern Coin Magic. For silks, lit cigarettes or salt, do some research on a utility device called a 'thumb tip'. You can buy one from pretty much all magic stores. For the trick, popularized by David Blaine, where you make a coin vanish (either from your own hand or from a spectator's) by waving your hand over it, this is achieved using a device called 'The Raven', available from many magic dealers. There are many other techniques but the three mentioned are the most relevant to a layperson.