Instructions
Purchase a LEGO set that contains a large number of minifigures. If you want a medieval character, get the Castle Giant Chess Set, model͔293 --- it contains 33 human, dwarf, troll and skeleton minifigures. For a more modern, classic LEGO character, try setΜ7, Community Workers, with 31 people.
Get the individual body parts you want that aren't included in your base sets. ToyWiz sells a wide variety of LEGO minifigure heads, torsos, legs and accessories. Some of the prices are fairly high for a single LEGO piece; But it's worthwhile, if you can't get that particular head or hat anywhere else.
Collect the accessories your character needs. Most minifigure-heavy LEGO sets have a number of accessories to choose from, and ToyWiz sells many such pieces individually as well. If the LEGO Group doesn't make the part you're thinking of, you can turn to custom LEGO toymakers. BrickArms manufactures realistic LEGO weaponry, and BrickForge makes unofficial minifigure clothing and accessories of all descriptions.
Assemble your custom LEGO men, connecting the heads, torsos and legs that you want. Add any hair or heagear to the top and give them each an accessory or two to hold.