There are a lot of articles out there on how to create one's worlds, not to mention that the World Building Guild is also dedicated to helping out those who would like to establish their own settings. They are good points of reference, but in my opinion, everyone has their own way of doing things and their own way of making a setting. What is yours? For me, I usually start out from a story what I want to write, or an idea which I want to incorporate into the setting depending on my mood. I then collect the concepts which will be absolutely essential to the setting and define them as needed, then based on them, I establish the 'current' state of the setting, which usually means building the world as it is at the starting point of the story. I then move onto history, working my way from the earliest possible date which is unknown to the reader, or if I would like to deliberately obscure some details of history, I start at the first date civilizations have in their collective memories. Then I work in-depth on the various cultures, religions and other things of the setting, slowly building them up from the ground until I feel they are ready. I usually move forward my world-building as the story I started out with moves along, but that varies for every world I create.