Photo or Design
First, settle on your photo or design that you want to turn into the puzzle. You will probably want something that forms a well-defined image so you can strategically know where you want each piece to be moved when you are moving it. In other words, your image shouldn't have too many large sections that are just one color. Once you have decided in this design or photo, put it on your computer and look at how many pieces it can be cut into evenly. Can it make a square, as most of the photo slide puzzles should be able to? Or is it better suited for a newer format of photo slide puzzle?
Handheld Puzzle
The actual plastic tracks and squares for these photo slide puzzles can be bought online without any designs on them. Once you have them, measure the size of the image you want to put on the front of the puzzle to match the size of the photo slide puzzle. Use a high-quality photo printer to print out the image on that sized piece of adhesive, so you can simply stick the image over the moveable squares of the puzzle. With a razor blade, cut the image in between the square pieces.
Digital Photo
With everything is going online and digital in this day and age, an online photo slide puzzle might be a better option. Software will allow you to make a photo slide puzzle on your computer out of any image. Take it a step further and place it on your iPhone (and other similar touch-screen cell phones) for a "physical" photo slide puzzle. If you can design an app that will allow the same movement of the photo slide puzzle, the number of puzzles you can create is virtually endless.