We have a set of 6 knurling 'die's; and a holder. Generally used on ductile metals and mallable plastics.
3 diamond-shape wheel (as used in the picture) and 3 straight pattern wheels.
Consult the internets (youtube) for a video.
In general - use the (lower) speed on the lathe; and make sure that the tool is perfectly aligned, height wise, with the axis. So the line of force is as straight as you can get it.
Then gently run the lathe and move the tool into the work-surface. Give it time and lubricant.
Changing the wheels =
Use a Penuitdrijvers to remove the pin; and change the wheel. Do not use a punch -- its pointy end will cause the pin to mushroom.