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Well, the first thing you should do is know every current codex inside and out. This will allow you to understand what is currently balanced, uderpowered, and overpowered. I also recommend reading what the internet generally feels about each unit in the codices. A good, solid understanding of the current game will allow you to construct the fairest possible codex that feels unique as well.
Then, go read through a number of current fan dexes, and see what they've done. Look at the feedback and learn both from the good parts and especially the bad parts. I highly recommend reading though both of JustDave's fan dexes (Eldar and Chaos Marines) as they are excellent examples of how to take a currently outdated and underwhelming codex, and turning them into fun, more competitive codices with lots of options. AtoMaki also wrote a cool fan dex of a custom race that relies very heavily on shooting and expensive, yet durable, units. Its not perfect, but its only gotten better.
Thirdly, get ready for feedback, lots of feedback, assuming you post it here for us. This feedback will range from apathy (no responses) to vile, bitter vitriol (me) to praises, to just general wishes and comments. Read through them all, go meditate on them, think long and hard, and make an informed decision. There are lots of opinions, and many hold water, but the art of it is finding the compromise. Never flat-out ignore responses or insult the person in return, unless they are just being terrible people. Acknowledge everyone and be ready to incorporate ideas or make changes. That doesn't mean take everyone's ideas, but just be smart about it.
Fourthly, have a good fluff reasoning and don't try and break the current fluff. There's always room for more stuff, but just don't go and say your new faction rivals the Imperium or similar such nonsense.
Finally, its a lot of work. I haven't done one myself, but I often comment on them, and I understand how much work and dedication it takes.
When in doubt, its better to make your units/codex a little underpowered than it is to have an obviously overpowered codex. Its for fun, and no one will want to play against your fandex if its some kind of rape train you designed to fulfill some deeper desire to rolfstomp everyone.
Also, have fun and all the fluffy stuff. If you decide to post it here, I'm sure I'll likely be there to provide some sort of feedback.
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