I dry roast the spices for my garam masala and also now for my spice mix (i.e the cumin and coriander seeds). Actually, I usually just grind them, without roasting them.
I'm sure that contradicts what I have previously said, regarding BIRs roasting spices. I'm sure they probably don't. They probably use commercially ground spices, but their turnaround is probably such that their ground spices are always "fresh".
To dry roast (as has been said), simply heat a heavy pan, on a medium heat, and dry roast (i.e. using no oil) the spices, for a minute or two, until a little vapour (not SMOKE!) and aroma is given off.
I agree that it is wise to dry roast the spices individually, since they all take differing amounts of time. Alternatively, you can also chuck them in a roasting tin, in an oven at a moderate temperature (e.g. 160C), for a few minutes.
PS: Subsequently grinding the spices (using an an electric grinder) also heats them, and so constitutes "roasting" them to a certain extent.
You might also like to check this link which describes dry roasting spices a little more fully:
http://www.curry-recipes.co.uk/curry/index.php?topic=2151.0