Protokletos,
It is absolutely fine for you to receive the holy ashes. Simply approach the ash-bearer and he/she will impose them on your forehead in the shape of the Holy Cross. The one doing the imposing shall say a prayer.
I often say "Amen" when I receive, however this is not necessary.
And yes, I believe there is no problem with you receiving the holy ashes...even from an Orthodox standpoint (and I have studied Eastern Orthodoxy and still do). The fact that His Beatitude the Patriarch of Constantinople takes part in non-sacramental liturgical rites of the Church...and is even present at Holy Mass...means that there is no intrinsic problem with an Orthodox receiving the holy ashes. You are to imitate your Patriarch when he does good, just as we are. There is, as a matter of fact, no unanimous agreement between Orthodox on this issue anyway.
From a Catholic pov, there is absolutely no problem for you to receive the holy ashes. In fact, if you desire to do so then you are encouraged. Even the non-baptized are able to receive the holy ashes during their catechumenate or candidancy. All the more so for an Orthodox Christian fully initiated/illumined! The only discrepancy I can see is what Anhelnya mentioned: the dating of Great Lent. Orthodox Christians are encouraged, if they desire, to attend and pray with us Roman Catholics and Eastern Catholics. In some cases, you may even receive the Holy Eucharist from the hand of a Catholic priest (Eastern or Western rites) although you are encouraged to respect the discipline of your own Patriarchate. (But that's a separate issue, LOL)
So, basically, that's that.
Given your interest in Catholicism though, might I suggest learning about the Eastern (Byzantine) Catholic churches? If you were to come into full communion with the Catholic Church, you'd be considered a Byzantine Catholic anyway, not a Roman Catholic (and the holy ashes are a distinctly Latin rite). Just something to consider...but now I'm rambling so I'll shut up, LOL.