Create a new document of your preferred size. Select "Fill tool" from the toolbar, click on the black square from the color palette, and fill the background of the image so that the entire project is black. This dark background will serve the purpose of creating a contrast between the brightly-colored text of the sign.
Select the "Text tool" and customize your font. Select a font that is solid, thick, and one that is easily readable. Ensure that you have selected a font size that will fit your whole message into the document. For the more specific font options, select "Smooth" font, "Solid color" and "Anti-Alias." Click on the document and type your message, and then change the color by selecting a bright color on the color palette.
Position your text so that it is centered in the document. Duplicate the text by selecting the font layer in the "Layers" window and clicking the "Duplicate Layer" button. Select the duplicated layer and click "Merge Layer Down" to combine the new layer with the background.
Hide the remaining layer of text by unchecking the checkbox next to the layer name, then click on the "Background" layer. Select "Magic Wand tool", apply a tolerance of 0%, and click on a black section of the background layer. This will select the entirety of the black portion of the image, and exclude the colored text. In the "Edit" menu, click "Invert selection."
Click on the original text layer in the "Layers" window. In the "Effects" menu, navigate to "Blurs" and select "Gaussian Blur," apply a radius of four pixels. Repeat this effect one additional time. Right-click on the "Background" layer, and select "Delete Layer" to remove it from the document. Click "New Layer" in the "Layers" window, and fill the background with black.
Switch to the original text layer, and click "Duplicate Layer." Select the layer on top in the "Layers" window, click "Layer Properties." Under "Mode" select "Difference" and click "OK." Click "Merge Layer Down" to combine the two text layers. Go to the "Adjustments" menu and select "Black and White." Go to "Adjustments" once again and select "Brightness / Contrast." Use a brightness of 100 and a contrast of 80. Click "OK."
"Duplicate" this layer and go into "Layer Properties." Set the "Mode" to "Negation" and click the "Merge Layer Down" button. In the "Effects" menu, apply a Gaussian Blur of two pixels. Once again, duplicate this layer, but this time merge the bottom layer down with the background layer. Click on the background layer, and use the magic wand to select the black background. Then navigate to the "Selection" menu and click "Invert Selection" to select the font shapes.
Click the "New Layer" button, click on the new layer, and use the "Fill tool" to fill the selected space with the color you want your neon sign to be. Click "Layer Properties" and change the mode to "Color Burn," which will give the sign a deep neon coloring.