When you start building a deck the first thing you need to consider is the theme. Most people construct their deck around a certain archetype such as "X-Sabers" or "Dragunity". You can also build your deck around a type or attribute. Or you could build your deck around a certain card such as "Dark Simorgh" or "Final Countdown". Do some research and find what's right for you.
Step 2-Key Card(s)
After you have figured out the theme of your deck, the next thing is to figure out your Key Card(s). These will be the center of your strategy and will help you win duels. But don't limit yourself to monsters! Your Key Card could also be a Spell Card or a Trap Card. Look through the monsters and support cards for your theme and pick out your Key Card(s).
After you figure out your Key Card(s), then figure out support. Support are monsters, spells, and traps that help you get out your Key Card(s) and protect them. These cards also make up the bulk of your deck so include cards with high attack power, hand destruction, field wiping abilities, deck destruction, etc. It also helps to add general cards that work with any deck. It's always helpful to have a "Mirror Force" or another great card when you need it!
Now that you have all the cards for your deck, record them. Write your deck list down somewhere and keep it safe.
Now that you have a complete deck the next thing you need to do is figure out your strategy. When doing this you should ask yourself: "How will my deck win"? "Do I want to win right away or later on in the duel"? etc.
After you have a completed strategy, then you duel! Test out your strategy and modify your deck based on the results.