Write a character sketch. This is an outline that might include the general appearance of your character and a character history that includes any life-changing events that help explain your action hero's beliefs, especially those that help explain your hero's personality traits. For a superhero, this would include the events that made your character into the hero he is. Keep track of this material in a standard spiral notebook. Be sure to give your action hero clear, strong goals and reasons for wanting to accomplish those goals.
Design an outfit for your hero. If your hero isn't a superhero and doesn't need a specific costume, you'll still want to consider how your action hero will dress. You may consider a look that suits your character. Indiana Jones always wore the type of gear specific to an archaeologist.
Write a short story based around your action hero, even if you have bigger plans for her in the future. The short story may be based around the origin of your hero or the first adventure she is in. Putting your character in a story helps you see the character in action and helps solidify the characteristics you've created for your character.
Draw your character if you have the ability to draw. You don't need to be an artist to draw your action hero, but the better you can draw, the more complex situations you can draw your character in. Full action scenes can be an effective way to illustrate your action hero. If you know someone who draws better than you do, consider enlisting some help with this aspect.
Keep a folder on your hero that includes anything you write and draw regarding the character. Add to it when new ideas strike you. This includes any character sketches you do of people your action hero knows who may play a part in your hero's makeup.