I did this a few years ago. I used
IRA Financial Group to set it up, and
IRA Services Trust Co to be the Custodian. The costs were about $2,000 to set up, and about $500 per year to operate. That includes the LLC filing fees.
Basically it works like this. IRA Financial Group creates an LLC for you to use to make real estate investments. You open a bank account in the name of your LLC. You rollover IRA funds to IRA Services and then direct them to invest in your LLC. They transfer funds to your LLC bank account, which you then use to invest.
The only reporting requirements are an annual valuation reported back to the custodian, and annual filing fees for the LLC.
You must be careful not to engage in any prohibited transactions. This basically means that you (or any members of your family) can not have an interest in a transaction. Also, you can't contribute your own labor to the enterprise, beyond what you would normally do for a self directed IRA.
For me it has worked out well. I have purchased a few rental homes, and provided some high yield mortgage loans.
IRA Financial Group seems to have changed hands since I used them, so don't take this as a recommendation.