Think of a power or ability for your superhero. While not all superheroes have powers, they all have some trait that makes them "super." Often, the power of a hero is what most immediately identifies and separates them from others. The best heroes have powers that make for easy gimmicks. Similarly, it's often her power that informs the personality and story of a superhero. As an example, both Rogue and Storm have powers that are easy gimmicks and form the basis of their personalities.
Sketch or create a basic design, including a costume. Secondary to their power, costumes are the easiest way to distinguish between different heroes. Superheroes often are sold first on their appearance, especially female heroes, where a certain type level of attractiveness is expected. Superheroes need to stand out from others, and powers often inform the way the hero looks. Catwoman requires a sleek, feline appearance, while Wonder Woman needs a bolder, flashier one. Rogue's ability requires that she be completely covered, and Storm uses a flowing design to accentuate her weather control.
Name her. Superhero names work as quick identification of who they are. The best names give an image of who the character is ---- Black Widow is dark and works alone; Wonder Woman is an amazonian goddess; She-Hulk is a female version of the Hulk, and so forth. A good name not only works for a character's heroic persona, but also for her real personality. Heroes using their real name, such as Jean Grey, are rare, but can also work.
Create an origin story. Once the surface details are set, it's time to add depth. A hero's first adventure, and many more that follow, often are based on where they came from. Decide how the hero grew up, depending on how old she is now, where she is from, how she gained her powers, why she became a hero and as many other details as possible. Even if they never play a part in the hero's story, the more that the creator knows of the superhero, the more real she will feel on the page.
Give her a personality. Take into account everything that has come before, both in her fictional life and in her creation. Her powers, appearance and background all inform how the character interacts with the world. She can be a champion, an anti-hero, a reformed villain or just a woman trying with an extraordinary ability trying to live a normal life, but she always needs to let the audience relate to her.
Make her somehow vulnerable. Superheroes that can never be damaged don't make for good suspense. There must always be a sense of danger surrounding the hero's adventures. This vulnerability can be through her abilities or power (for example, Catwoman might be quick and agile, but if caught, she is weak); her personality (Rogue can't get too close to people for fear of harming them); her background (Storm has a crippling fear of enclosed spaces) or any combination of these. Powers and costumes might identify a character as a superhero, but it's her actions and triumphs that will make her heroic.