Traditinally, people throw roasted soy beans, shouting "oni-wa-soto" (get out demons) and "fuku-wa-uchi" (come in happiness.) These beans are called fuku mame (fortune beans.) It is believed that people can be healthy and happy if they pick up and eat fuku mame the number equal to their ages. Also, eating fortune sushi rolls called eho-maki is a Japanese custom on Setsubun.
Bean throwing ceremonies are held at many temples and shrines around the country. People visit shrines and temples to pick up beans to receive good fortune. At major temples and shrines, Japanese cerebrities, such as sumo wrestlers, often participate in mamemaki. If you want to avoid crowds, try to go to a neighborhood shrine/temple. It might be fun to join other people who rush to catch the beans. Traditionally, people in Japan not only visit temples/shrines on Setsubun, but also perform bean throwing at home to drive away bad lucks and invite happiness into their houses.