Locate the cricket between the wall of your chimney and the part of the roof sloping up to the ridgepole behind it ( "behind" the chimney). You will find one of three things: a pitched triangle sloped like a little roof and covered with roof shingles or metal flashing (a full cricket), a creased strip of flashing that runs behind the chimney and angles down on both sides around the chimney for an inch or two ( a partial cricket), or nothing.
Use plywood and screws to build a cricket if you found nothing and live in anything but a desert climate. Unless your roof is essentially dry all year, you are in danger of roof damage, chimney damage and water damage inside the house. Cut two triangles out of plywood that can butt against the chimney and the roof, while forming a pitched triangle behind the chimney. If your existing cricket shows signs of deterioration, begin by replacing the plywood structure, rather than just covering it.
Cover the cricket with bitumen membrane and shingles or with pieces of flashing material. Membrane is tucked under step-flashing, then shingles are applied. Step-flashing also precedes covering the cricket with more flashing metal, so that additional layers of flashing cover the steps. In either case, treat a cricket like a dormer, securing the step flashing, then counter-flashing to secure a waterproof seal. Use caulk or mastic as you would on a dormer.