Begin by researching the history of the waltz and the different forms of the waltz. Try watching some videos of the waltz online to get a feel for how this dance is executed.
Listen to some waltz music to get a feel for the rhythmic flow of the dance and pick a song that appeals to you personally to choreograph the routine. Know that most waltzes are danced in 3/4 time, which is a very distinctive beat. You should try to capture this beat in your choreography.
Begin by practicing the basic waltz steps such as the left and right foot change steps. Master this basic footwork first before moving on to more advanced step sequences; remember the sequences you choreograph now so you can teach it later.
Move on to the promenade steps and more progressive footwork from that basic foundation, working in various changes. Incorporate your own special style into the routine, giving it a healthy dose of your own personality.
Keep in mind the individuals for whom you will be choreographing the routine. Keep the choreograph on the level of your dancers, or yourself, but try to keep the skill level a bit challenging to keep your waltz interesting.