A matter of prime importance when making movie props is that they appear realistic and stand up to close scrutiny. On film, it's possible to see objects in fine detail and detect when something doesn't look quite right. When this happens, it destroys the illusion and takes the viewer out of the experience of the story, reminding them that what they're seeing is fabricated.
For this reason, it's best for movie props to be the “real thing” rather than a fabrication. If possible, only build a prop if the item is something that doesn't really exist (such as sci-fi and fantasy props) or if a real version of the item won't work the way you need it to (such as a fake gun used for safety or special effects props like doors that are easy to break down).
Using the proper material is key to making a fake thing look real for film. With stage props, you can get away with painting cardboard to look like it's metal or wood, but for film, the surface materials must look convincingly real up close. There are a few common exceptions; good quality press board can look like real wood on film, plastic is often indistinguishable from glass and quality painted granite textures on materials like Styrofoam are quite convincing. Any “fake” material that looks real to you until you touch and handle it will also look real on film.
Learning to design and build props from scratch is a matter of trial and error, one that will be most successful if you have a background in sculpture and/or arts and crafts. If your experience in these areas is limited, go with designs that involve less building from scratch and more assembling and combining of existing pieces of found objects. For example, if you need to build a model space station to use for miniature shots in a sci-fi film, you might consider browsing an electronics surplus store to find existing unusual metal parts that you can fit together.
It's important to consider the physical strength of anything you build and how it will stand up during the filming process. Props can go through a lot of punishment during filming, especially if they are handled by the actors or are otherwise part of the physical action of the film. Each prop must hold together well enough for its appearance to be unchanged from take to take. Make everything you build as strong as it can possibly be in order to withstand this. Use high-quality materials and attach pieces with strong fasteners and adhesive. Imagine that you are building each piece to last a lifetime rather than just the length of the filming.