A permit is indeed necessary when visiting Mada'in Saleh!
In my case, the Arac Al Ula Resort (url=http://www.arac.com.sa/arac/english/smvistors.html) helped and organized it. Its Manager Ahmed Saleh is a Sudanese and was so happy that I arrived from his home country that he organized in only one day.
The Arac Al Ula Resort is not cheap, a single room costs 350 SR, a double room 430 SR (approx. 70 and 87 Euro) per night including breakfast. The other hotel in Al Ula, the Madain Saleh Hotel, is said to have burned out.
Whether there are other, cheaper hotels who could also organize the permit, I don't know. I don't know either what happens if overlanders arrive without a permit. In my case, the police at the entrance just noted the information about my car. Whether it is possible to camp at Mada'in Saleh was also unclear. There are abundant parking lots - but there were only a handful of other, mainly Saudi, visitors at the site which also hosts a museum of the Hejaz railway and of the old Syrian pilgrimage route (in the Islamic Fortress).
Permit and entry to Mada'in Saleh are free of charge!
The area of Al Ula and Mada'in Saleh is worth the detour from the coast road between Jeddah and the Jordanian border: The 160 kilometers from the intersection north of Khayber to Al Ula are like a giant Wadi Rum, as is Al Ula, a city nestled into a magnificent scenery of red-brown hills and mountains. Apart from the Elephant Rock and the Nabatean city of Mada'in Saleh itself (see Vicky's pics above), the "house mountain" of Al Ula Harrat Uwayrid is worth a visit in the early morning or late afternoon!