While I've not made a kiln either, I do know you can make a buried kiln quite simply by digging a pit, adding fuel and greenware then covering with more fuel and setting the result on fire (this is used for small scale production of terra cotta).
If you want high-fired pieces, you'll have to put some more effort in. I don't know how cob responds to really high temperatures; I suspect the reinforcing straw might carbonize and lose strength and the clay will probably slump under it's own weight if you get it too hot. You'll most likely need at least a refractory brick lining.
Here's a
buried kiln design I found in a quick search on Google. It uses electrical heating.
On the same search I found this which has a good survey of different kiln types and some fairly detailed advice on building and operating a kiln,
The Self-Reliant Potter: Refractories and Kilns (GTZ, 1987, 134 p.). The link is to chapter 2, the rest of it is available there as well.
Just remember to be careful if you try this out. Keep it well away from flammable things like trees, grass, or your house in case something goes wrong.
Best of luck!
