1. come up with an idea. Apple's Human Interface Guidelines have good rules of thumb.
2. Design the 16x16px version in a bitmap editor.
3. Scale up the icon to the next step (32, 48, 64, 128px) and fill in the detail. Repeat until each resolution is complete. At 32px and larger, it can be possible to design in a vector app and then rasterize, but keep the detail level low to begin with, and then add detail for each bigger size.
tooki