Come up with a Character Concept
This is the single most difficult step, and that's why we are going to tackle it first. In many cases, especially when entering a campaign that is already in-progress, it can seem really daunting to create a character that will meet the needs of the story and still feel like your own.
First, focus on fun, and use the setting's Races as inspiration.
Are you drawn to the image of vampires lurking in the dark? You could be an Eschwen bat-person who remains hidden and strikes from the shadows while using guile to influence allies and enemies alike!
Maybe you're a fan of early 20th century sci-fi and want to play a sentient insect warrior, loyal to her broodmates and fearless on the field of battle. You could be a Tiktani who uses a complex dance to slay foes and restore allies.
The most important part of this step is to come up with a concept that YOU like.
Once you have this idea in mind, it's time for a backstory, so look to your GM and your fellow players to help you brainstorm something that fits within the campaign that you are all building together.
There are a lot of questionnaires that you can turn to online that can help flesh out the margins of your character.
Choose a Profession
Your Profession has the largest impact on how you play your character both in and out of combat. It describes your role in the world before the adventure began, the lens through which they see every interpersonal interaction, and shapes their methods of problem solving.
Are you a Detective for a small municipality, looking for clues and sussing out lies?
Are you a traveling Physician, treating diseases and determining causes of death?
Or, are you a Ranger, scouting the wilderness, documenting changes and reporting on your findings?
What does this change about your character's priorities compared to the other characters in your group? Are they proud of their profession? Do they enjoy it? Was it forced onto them as a part of their upbringing? Whichever you choose, you get a +5 bonus to all skill rolls related to your profession.
Even the idea of having a profession that seems useless at first can be a great avenue for unique situations.
Choose a Core Path and your First Step
Each Path has at its Core a unique way of interacting with the game rules. Generally, the more diversity in the Core choices of your group, the more solutions you will have to various scenes involving movement and combat. Your First Step is a way to add further customization, as it can be the first step of any Path, not just your Core.
Choose Weapons and Armor
Does your character use an ancestral sword, passed down by their parents and grandparents, did they learn martial arts that favored a spear, or are they a pragmatist who uses whatever is at hand? Do they prefer using a staff like Gandalf, a wand like Harry Potter, or their hands like Merlin?