Purchase a DMX terminator at your local or online stage lighting distributor, and don't forget to specify whether you are using 5- or 3-pin DMX cables. Models with a built-in LED are helpful and indicate that the DMX signal-flow is operational throughout the terminating end of the chain.
Connect your DMX controller, lights and other devices as you normally would, and plug the terminator plug into the DMX output jack of the last device in the chain.
Power up the DMX controller, dimmer packs and other electrical components, and check the system for operation. If you have chosen a model that includes an LED, it will illuminate upon powering-up the system indicating proper signal path. Your DMX system and cables are now terminated.