You can go on your own or hire a local guide, which is highly recommended if your are going for a hike in group. Guides arrange boat pickups in remote places, and in general add dept to you hiking experience. It is easy to walk in these mountains, but keep an eye on the weather forecast. it can snow anytime of the year and fog can make crossing mountain passes very riski. Be well prepared, with extra clothes and food, compass and good walking shoes.
There is a local travel club operating in Siglufjörður. Every year they arrange several walking tours in the area. You just have to know where and when to show up, no reservation is needed and the price is very reasonable. If you plan to go with then, be prepared that schedules can change suddenly because of weather condition.