You've heard about the instrument approaches... as others said, you'd be better off shooting the ILS 4 at MDW and then shooting over.
As for the visual approach, it's a piece of cake. First of all, get yourself a Chicago Class B map. It has all of the required altitudes, frequencies, and landmarks on it. Bring a camera too.
From the south, call Gary tower for a transition, then once past them call Signature for a spot, get the ATIS, then Chicago approach for flight following. Flight following is important because this is a busy corridor. When you approach the hotels (about 5NM south of CGX... marked on the chart) call CGX tower. They'll tell you to report some landmark... probably the hotels and if landing to the north make a straight in. If landing to the south, it's a left downwind and you turn over Navy Pier. The approach isn't too tight because the high buildings are on the other side of Grant Park (about 1/2 mile west). There is a high rise condo building at the base of Navy Pier (rumor has it that Oprah owns the penthouse condo) but you don't have to get that close to it. When you land, tower will taxi you to parking and the FBO will guide you in. You get the red carpet treatment, even if you're in an old 152. It's neat.
From the north, call the tower before Belmont Harbor and reverse the procedure.
Either way, if you stay below 2500 feet and stay over the water (but only about 1/4 to 1/2 mile) you'll have no problem.
You used to be able to ask Meigs Tower for the "scenic route" where you could fly around The Loop on the back side, circling the Sears Tower. I don't know if they still let you in this post 9/11/02 world. It's worth a try if you can.
By the way, you can just do a low approach if you don't want to land and spend the money. Tower is cool about that (or at least they used to be). Landing, parking, and ramp fees will set you back about $20 in a light single and about $35 for a light twin. Fuel is about $3.80+ for 100LL
Have fun and be careful. I used to go into there weekly when I was a CFI and it's one of my favorite memories.