Link pyramids... nuts and bolts

Need some advice on starting to build a link pyramid, especially since it looks like I've lost the ability to link to one of my money sites directly. I've seen a lot of articles online giving an overview of the link pyramid concept, but I'm still a little unsure on the details.

I'm guessing I start by setting up my web2.0 sites... how many? I've got a list of 5 main keywords so far and will be adding a few to the list. I'm going to be doing links to the homepage, plus deep links to a handful of category pages.

Do I do one web2.0 site for each keyword? For each link location? Many or all links on each site? Random?