Open up Adobe Illustrator or InDesign, along with the file you plan to have the die cut on.
Create a path in the shape you want your die-cut to be in on a separate layer. You can use the Shape tool or create it using the Pen Tool. Place this layer above the image you want die cut. Click on the Eye in the Layer palette to check your work and hide the layer.
Fill the shape with a spot color and an empty stroke. It can be any color, so long as it's obvious to the printer that it's not suppose to print. Select ugly, neon, bright distracting colors that differ strongly from your design.
Set the Attribute (Window > Attributes) of the die cut shape to Overprint Fill. This is done so that if the printer is misaligned you won't have a white halo around your die cut.
Discuss the die cut with your printer that you want a die cut. Ask if his standards for die cuts differ from yours. By communicating with them and going to view proofs, you can avoid missteps in your printing process.