The ashes that are placed on the heads of the faithful are made from burning the blessed palm branches from the previous year’s Palm Sunday. Parishioners are taught to place these blessed palms behind crucifixes and icons in their homes throughout the year, and then return them to the parish church during the weeks before Ash Wednesday. After they are burned, the ashes are then blessed by the priest, usually immediately before the Ash Wednesday mass.

While they may be distributed outside of the mass or any liturgical service, commonly the faithful receive their ashes immediately before the Ash Wednesday mass. As the choir sings various chants, the priest places the ashes on each person while saying, “Remember, man that thou art dust, and unto dust thou shalt return.” (Gen 3.19) These words indicate that the ashes are a sign of mortality, and thereby spiritually call each person to mortify their flesh during the season of Lent through the sacrificial acts of prayer, fasting, almsgiving. In fact, the Scripture readings for the Ash Wednesday mass say as much. From the prophet Joel, the faithful hear that they are to return to the Lord with all their heart by means of fasting, weeping, and mourning; and in this way, they rend their hearts and turn to the Lord God. Likewise, in the Gospel lesson the Lord admonishes the faithful to fast in order to recall that their hearts are to be fixed not on earthly but heavenly treasures.

source: http://ww1.antiochian.org/content/orthodox-ash-wednesday