It's all up to you.
What are you good at, any artistic experience?
There are so many options, you need to figure out the method that works best for you.
Some of the more common methods are:
Sculpting - you first create the part in a temporary medium, then create a mold and cast the final part from that.
Vacuum Form plastic - This time you make your part from a more durable material, then stretch melted plastic over it using vacuum.
Fiberglass - first you make the part out of a easy to work with material, then strengthen and seal the part using a layer of fiberglass.
There are examples of each of these methods scattered throughout the forum.
I believe deadguy, corpseguy, and briar, all use the vacuum form method. I think link uses a process similar to the fiberglass method i described above.
Last but not least, I am pretty sure the Nightmare armor uses something along the lines of the sculpting method.
So look around the board and start contemplating what method will fit you best. After you figure that out research the technique like crazy.
Heroics