Parachuting isn't a typical activity in which you have to drive to the particular place, as in the similar activities. To jump, you have to have a parachute first. You can buy it in (Ammu-Nation) or find it (e.g. at the last station of railway at Mount Chilliad). Then, when you're up in the air, you can jump out from the airplane and start diving. Pushing analog forward you speed up, and moving it back slows flying. When you think that it's time to open a parachute (you can do it even just a bit over the surface), you can open it with A/X. As in the case of diving, you can speed up and slow down with the left analog. What is more, RB/LB/L1/R1 can let you turn during flying.
Parachute may be also opened after jumping on the motorcycle. But motorcycle will fall and you lose it. Parachute is disposable and after every jump you have to buy a new one.