IMO it starts with a deep knowledge, deeper than the immediate and primal realities of what is happening presently, I would dare say an intimate knowledge of our stories and struggles, both through narrative fiction as well as our critiques, philosophies and dogmas throughout written history:

Check this out, another HNer and I shared some books: https://news.ycombinator.com/item?id=23399364

Adding to it though, other excellent books and writers I think any ally should find the time to read:

Roots - Alex Haley

Revolutionary Suicide - Huey P. Newton

Locking Up Our Own - James S. Foreman

Negroland - Margo Jefferson

A Raisin in the Sun - Lorraine Hansberry

Where we Stand - bell hooks

The Future of the Race - Henry Louis Gates Jr. and Cornel West

Letter from a Birmingham Jail - MLK