Youd good answer actually has to be outstanding as a nudist can't walk his rabbit out in the open with a huge typhoon dancing in the streets. Ahem. Anyhow. Lets begin.
Step 1. The Math!
The first thing we would want to do is to make moon heavy enough to hold an atmosphere. As you already know, moon does not have any metallic core and is all rocking and boring and dead. But for that, we need some stats.
Earth's total volume is 1.08 x 1012 km3 while the volume of it's metallic core is 7.61 x 109 km3 which means that in terms of volume, core : total = 1 : 142.
The distance between core and crust of the moon (radius) is 3474 km which means it's volume is 2.19 x 1010 km3 . Now if we follow earth's example, the volume of it's metallic core would be 1.54 x 108 km3 which means that the diameter of its core would be 332 km. That is, out of a total radius of moon -3474 km- only 332 km would be it's crust. Which will do very little in terms of giving it a good magnetic field or increasing it's mass. Ha ha ha!
Step 2. Moon's Core
OK, so now that we have the stats with us, we can get to do some heavy terraforming and geo-engineering and stuff.
While earth's core is very little part of its total volume, we want the moon to have a larger core so that it may have a stronger gravity (don't worry, you'd still be jumping 60 feet in the air easily, kid). I suggest putting moon core's diameter at 1/5th of it's entire diameter. It will be much larger than earth's core ratio, but not mind bogglingly big.
So, 1/5 of moon's radius = 3474/5 = 695 km. This is the radius of our moon core.
Volume of moon core = 1.41 x 109 km3
This is a huge amount of volume if you ask me, when you want to fill it with iron and nick alloy. Where you get all that from, is none of my headache. What I would explain is how to place it at moon's core.
First you'd need to dig a tunnel, at least 100 feet in diameter from moon's crust to its core. It's some 3474 km of digging. Don't worry though, you won't get fried by heat as our spies report that moon's core is dead. Nothing boiling or superheated present there. Basically you can just stockpile a huuuuuge amount of TNT based rockets (alongwith their supply of oxygen in their heads, as there's none on moon) and keep shooting them at one point on moon's surface. After you get to half a mile or so depth, you would need to take out the debris too. Also, you'd need to place titanium-steel alloy rings in this tunnel every 50 meters or so, to keep it from caving in. Gravity, you know, likes to shut all tunnels up.
OK so, once you hit the 2700 km depth, start dropping hydrogen bombs there instead of your puny rockets. These big babies would do some massive damage and help loosen the astroundingly hard rock there which you would then need to crack and take out of the tunnel as usual. Once you cave in a hole ~1 cubic kilometer, quickly fill it up with solid iron and nickel pieces. Don't even think about pumping in liquid iron-nick alloy or you would be in for a world of hurt. Anyway, once you have replaced 1 cubic km of moon's rocky core with metal, blast another 1 km around it and fill it will with metal. Rinse and repeat till you have replaced 1.41 x 109 km3 of moon's core with metal.
Congratulations! Mission complete! Moon now has a metallic core, making it somewhat heavier than before and also giving it a magnetic field (not as strong as it could have been if it was rotating fast enough, but better than nothing).
Disclaimer: I am not responsible if all this core-changing stuff has a bad impact on moon's rotation or orbital speed etc. I have some fears that moon's added mass might make it a big too attractive for earth and ... (doomsday impact imaginations curbed).
Preparing For The Atmosphere
OK, we have a heavy core now and we can afford investing an atmosphere on moon now. But should we do that right away like that? I guess not! Unless you want to be obliterated with dreadful cyclones, do not put an atmosphere on moon yet. First prepare moon for it!
Moon has an outrageous temperature difference between night and day sides. In the absence of a temperature regulation system, this would cause horrible winds (speeds exceeding category 5 hurricanes on earth) which would blow everything apart.
This would have been the same on earth, too, if we weren't blessed with the benevolent system of oceans which regulate temperatures very well. So if we get to get oceans on moon too, we can regulate the temperatures there too.
Do you remember we blasted away some 1.41 x 109 km3 of moon's core? All that debris is laying on the surface now. And man, that's some huge mound, if you ask me! How about we start distributing it unevenly on moon's surface, so as to make 40% of it's surface higher than the rest?
We have 1.41 x 109 km3 of debris while the surface area of moon is 151659455 km2. 40% of which is 60663782 km2. Doing a bit more of math shows that we can have a height of 7.5 km for this area if we spread the debris equally on it. That is far more than we require. I suggest we spread 6 x 108 cubic km of debris for raising this surface 4 km higher and use the rest of it to build lofty mountain ranges and stuff.
Now we have a deep valley comprising 60% of moon's surface area at a depth of 4 km. How about we ... fill it water and create a lunar ocean? Woohoo! Then we could all go for a swim. Yay!
OK, so ... I don't want to go through the pain calculating how much water volume that would make. Just take that water from earth's polar glaciers and throw it in moon's valley. You'd also be getting rid of that yapping of scientists and researchers of earth shouting sky high about rising sea level. Balderdash!
And The Atmosphere!
OK, now we have very good temperature regulation system and we have a much heavier moon (don't forget the additional weight of water too!), so we can now start pouring atmosphere on moon. Make whatever atmospheric cocktail you want, and pour it on moon. Just make sure you keep the oxygen concentration ~40%. Much of it would be used up in the formation of an ozone layer, thanks to sun's ultraviolet beaming.
So ... yeah. We are done. You can go on and have nude beaches on moon or whatever. Just make sure there's a far away cottage reserved for me on a secluded island somewhere in the middle of moon's ocean.