Step 1: The Person
Determine your hero's race as well as their sex, and then name them. The GM is free to put limits on your choice of race, and of course he's free to veto a name that is not taking the game as seriously as he would like.
In addition, develop of a brief (or not so brief) history of your hero and what some of their desires, dreams, or ambitions in life might be. These help to make your hero more believable and easy to roleplay.