I am almost 500 pounds. Most of the weight is body fat. How do I go about using a skin caliper to measure body fat percentage?Kudos to you for taking the first steps toward a healthier life! It's going to be a great adventure.
The key to getting to your goal is finding something that will motivate you consistently over longer periods of time. For some people (myself included), that motivation comes from quantitatively demonstrable progress, which is exactly what you are asking about. Measuring body fat on a regular basis (say once a week) is an excellent way to go about tracking your journey to a healthier you. It helped me halve my body fat (16.0%-7.6%) and it can certainly help you too.
To answer your question more broadly, there are quite a few methods for measuring body fat. The most accurate are more expensive, and perhaps less necessary at this point. They would be tests like DEXA or hydrostatic. It will take some searching to find suitable facilities that conduct these tests, and they will be more costly (for reference, my hydrostatic tests cost about $40 each). If you really want, use these methods as major milestone markers, say every 3 or 6 months.
Skin calipers are a very good method to use as well. Unfortunately, they are quite tricky to use consistently, especially if you try to use them yourself. I would recommend using a simple and inexpensive tape measure ($5). This is probably one of the most solid measures of progress at this stage. It will of course coincide nicely with all the clothes that will stop fitting because they are too big :)
Another advantage of measuring progress is that you can determine how your body reacts to different approaches in either diet or exercise. Be willing to give it time, say at least 2-4 weeks to determine the impact. Be mindful of how it affects other aspects of your health, for example, your energy level. At the end of the day, diet (both the quality and quantity of food) will contribute the most to progress. Walking is a wonderful way to start exercising. Find a partner, or maybe offer to walk a neighbor's dog.
Best of luck!