I did a quick little search on the drying of fennel, and a couple of sites recommended against it as it loses flavour, and hence for our purposes probably the desired oils. I think bio is on the right track with steam distillation, probably similar in fashion to the methods to extract oils from nutmeg and mace (although the vegetative material in question is quite quite more fragile in fennel). Never tried it myself though, so I cannot comment on how well it would work with fennel. Probably fairly well in large batches. Better plan that garden for next year early!
http://www.island.wsu.edu/CROPS/FENNEL.htm (http://www.island.wsu.edu/CROPS/FENNEL.htm)
This link is a generic gardener's link, but gives the general thrust of growing and drying fennel.