The mixture will start to get hot, and may even begin to steam or make bubbling or boiling sounds. Just continue to stir until the solution is thoroughly mixed.
Safety note: the spoon that you just used to stir the lye? Look at it closely when you pull it out of the lye solution. You can see a few drops of lye solution still on the spoon. Be sure to rinse this spoon off or put it into a pitcher of water so that those stray drops of lye don't come into contact with something they shouldn't!