X-Monarch: I've only been on this website for about a week, so I can't exactly call myself an expert. But I can give some suggestions.
Step 1: Have a general idea of what you're making.
You can brainstorm, think tank, or just think of something while you're on the toilet (these seems to be most effective for myself). Figure out the powers, a basic idea of the costume, and other things. Don't stress over details; this is just the beginning.
Step 2: Resist the urge to make a uber characters.
Although it's fun at first, uber characters get boring. I'm talking about the kind of characters with a ton a really powerful powers. It doesn't take long for you to lose interest in them, since they're practically unstoppable, and there's just no suspense.
Step 3: Draw a rough sketch of the character.
You don't have to have a Doctorate degree in art or even an 4th grade art class education to draw something that looks like something. I'm a terrible artist, but I think that drawing your character can open your mind to the visual aspect of your character. But if you really suck, try www.heromachine.com.
Step 4: Tie up loose ends, work on details, and finish!