That's a very good question. There are quite a few ways to go about this, actually. What some people will do, is play with one of the Coat-of-Arms programs out there, such as
Blazon95, or Inkwell's
Coat of Arms Design Studio (this is the one we standardized on for the Order roster). With those, you can experiment and see what you like.
The down side is that these programs can't do everything. They have a small number of charges to choose from, and have other limitations.
Another angle to approach it from, is to think about the meaning you want it to convey. What sorts of things are important to you? There are websites out there that list the heraldic meanings for different charges, and you can pick based on the meanings rather than the looks, if you want.
For mine, this is what I did:
I decided I wanted one or more of these: Dragon, Ankh, Sword, because they all had specific meanings to me, in terms of how I got here with these historical and chivalric interests.
I had always used blue and black as my colors, but also added white as a third.
Then, I drew up 40 shield designs on the computer, using various combinations of these elements. Some had only two of the colors, or only one or two of the symbols. Others had more. Over the course of a week, I narrowed it down to 5 shields. Then I sat on it for a while, and eventually the idea struck that I kept. It wasn't one of those original designs at all, but combined elements from the last few.
What you'll want to avoid doing is what some people have called "resumé heraldry", in which people try to squeeze in every little detail that means something to them. Don't make it overly complicated, since you'll probably be painting it on something. And don't be afraid to make it mostly geometric instead of using lions and dragons. A lot can be done with stripes and lines, surprisingly.
Another good thing to do is look at a lot of other people's designs and get some ideas. Some SCA websites have heraldry for their kingdoms. I also like looking at some of the shields on the
Selohaar roll of arms.