Draw a quick diagram of the child's room. This should include furniture, windows, doors and closets. Note where the most play occurs, where the most toys end up and where you think shelving would be most useful.
Decide where shelving would be best located in the room. You should add this to the diagram. Decide how many shelves each space would need and the approximate location. Keep in mind the height of the shelves. Depending on what they're used for, some might be low so children can reach and some might be high to keep things out of the way of curious fingers.
Measure the areas where you plan to put shelves and decide how long each shelf should be. You also can measure the distance you would like between each shelf and jot that down on your original diagram as well.
Choose supplies at your local hardware store. If you're building your shelving from wood, oak is an affordable option that can be easily painted or stained. You can usually buy long pieces of wood that will already be the depth you're looking for. You will also need extra pieces that can be cut to hold the shelf in place on the wall. Check the scrap section for triangular pieces of wood; this eliminates a lot of cutting. Depending on the size of shelves you are constructing and the placement, it may be worth pricing the wire rack shelving that comes with its own brackets. These are nice systems for closets.
Cut the pieces of wood to the desired length and sand the edges to get them smooth. Cut additional small pieces of wood in the shape of a triangle so they attach to the bottom of each shelf (two on each shelf) and lay flat against the wall. This helps hold the weight of the shelf and adds a decorative element.
Assemble the shelf pieces using screws. Stain or paint the shelves at this point if desired and let them fully dry before hanging. You may want to paint the shelves bright colors to match the child's room or to add some color to the decor.
Attach the shelves to the location of choice using hollow wall anchors and a level. Make sure they are sturdy so children can't pull them down or weigh them down with toys or books.