Location: Junee NSW
First thing you'll want to do is decide how much you're going to build and how much you'll get from commercial sources. Are you going to make all of your own parts or use available components. Wheelsets?
Next step is to decide how you'll power it. (I'm assuming that you're talking about scratch building an operating model rather than a static display item). If you're building a steam locomotive, you'll need to decide whether you want to use the frame, motor, coupled wheels, motion and leading/trailing trucks from a proprietary model. That can be a good way to save time. It also saves the hassles of ensuring the dimensions of the motion are correct and it all works smoothly. If not, be ready for a complicated process of making all of the motion.
Get good three-view drawings, with dimensions marked and listed, both prototype and scale. Get photos and decide whether you're modelling a particular loco at a particular point in time; or a generic example of the type. Are you going for absolute scale accuracy or is 'near enough' fine for you?
Decide what you'll build the 'bodywork' from. I worked in Plasticard and various other types of plastic. Again, you may be able to use a commercially-available model on which to base your scratchbuilt loco. If you're going to work in plastic or metal, you'd better be proficient in working with the particular stock.
Work out in your head and on paper (or on computer) the process required to build the model, in stages. Go through it all, try and work out what may go wrong, how you'll work around problems and what level of detail you're willing to aim for.
Take it slowly, always measure twice and cut once, breathe deeply and DON"T rush anything. It isn't a race. Make practice parts if you're not comfortable.
My way was to get an inexpensive overseas model to work with. My VR steamers were based on 'near enough' US and European locos, which I picked up as cheap second-hand models from the Trading Post. (Remember that particular publication? It was before the inter-tubes, kids!) I'd then strip the loco to a wheeled and motorised frame. I'd make sure that the motion and cylinders represented the loco I was going for. I'd then build up the frame, then boiler/smokebox/firebox, then cab, then domes/stack, then running-board detail, then small details like buffers, smoke deflectors, generator, compressor, handrails, cab details and the like. Again, don't rush. Start with what the loco needs in order to work, and add what makes it look right later.
At each stage, test the model for running ability. You don't want to build a fancy and detailed locomotive which won't negotiate curves because of insufficient clearance.
Decide whether you'll build then paint or paint it in stages as you finish the physical detail.
My modelling was done in the days before fancy electronics, so I can't comment about decoders, speakers and the like. I'll leave that to those in the know.
Ask questions, be prepared to change your plan of attack and be open to suggestions and constructive critical review.
That's how I scratchbuilt my HO VR loco models and SEC/M&MTB/P&MTT/VR/MTT trams. I just wish I'd kept them! Mind you, I could do it again...
As with anything subjective; your mileage may vary.