Delve into previously published fantasy literature. You don't have to get a graduate degree in the subject, but if you plan to publish your story, it helps to be able to explain your story to editors in terms of what has already been published. You will want to have at least an acquaintance with some of the representative works of sub-genres such as urban fantasy, science fiction-fantasy, epic fantasy, horror fantasy, magical realism and mythic fantasy. Knowing something about what other authors have written can also help you recognize and avoid cliches in your writing.
Define your world as specifically and concretely as possible. Give some thought to its geography, climate, technology, history and political structure. Decide what kinds of creatures, human or non-human, live there, and how gender and sexuality operate in relationships. J.R.R. Tolkien not only drew a map of Middle Earth, but as a scholar of languages he created linguistic systems for his races of elves, halflings, dwarves and orcs. Think about the specific situations that you plan to place your characters in, and how they will need to interact with their world. For instance, if your characters use or seek money, you need to know about the currency of their world.
Define the matrix of magical reality as well as the everyday details of your tale's universe. Although your characters may include beings who fly and witches or wizards who can make things appear and disappear, their magical abilities should be governed by some system of rules and limitations. Decide what these are, and maintain them strictly throughout your story. You may want to have the rules be the source of conflict in the story, or the source of humor. For instance, maybe dragons can't fly in the rain.
Create characters that your readers will care about enough to continue reading your story. No matter how exciting and colorful the imaginary world you create may be, reader interest still depends upon the characters whose motivations they can understand. Successful fantasy stories feature characters who may be involved in a life-or-death quest or battle, yet who also have human concerns. Bilbo in "The Hobbit " loves comfort, good food and at first feels out of place on his heroic quest. Harry Potter must contend with his unpleasant muggle relatives in between semesters of learning magic and battling the evil Voldemort.