Up here in frost country, DO NOT pour concrete around the posts.

Gerald J. has a great point - drainage and grading will be a good start. As far as setting the post - dig the hole, and either pour concrete in the bottom of the hole and wait for it to set, or put a round concrete patio stone in the bottom, and set the post ON it. Backfill with some type of sized stone, and pack.

Frost will not be able to follow the wood post down, and the stone will also not 'transmit' the cold like concrete and frozen clay will.

Hole depth will depend on local building code and size of structure above it...

Good Luck

Luke