Depending on what you're doing, you might come up with a different method for creating words. You can
- Go by what sounds right;
- Create a game, such as picking letters from a hat, create an algorithm for generating letters, toss a coin or coins on a matte of letters, &c.;
- Base your language on another language (maybe it will be a Romance language);
- Use the language game method;
You don't have to do it all at once; you're probably going to create a lot of words, unless your language is really simple.
It's helpful to have sets of words, such as your pronouns, your greetings, your colours, your numbers, your months and days of the week, labels for a human body, various terms used for family members, etc.
At this point, you may find that there are inconsistencies, things you don't like, or some other things you may want to change. Feel free to change them. This is where you really get to see what's working and what isn't.