Read the script and take note of its requirements. If the set mentions doors, furniture or platforms for actors to stand on, your design will need to incorporate these.
Meet with the director and determine the overall artistic direction the show will take. Learn from the director any specific extra elements she wishes to include that may not have been mentioned in the script.
Sketch some preliminary set layouts. The point of these sketches is to help you visualize what your final product might look like. The sketches might need to be approved by the director and altered several times before you progress.
Determine how to turn your sketches into an actual structure by breaking the design down into smaller sections. In general, every 4x8 section of wall is a different flat. Flats are relatively thin walls covered in wood or fabric and painted to look like whatever you need.
Draw out each section and determine what building materials you will use to construct them. If the set is being built by someone else, meet with the head carpenter to make sure your instructions are clearly understood.