I swear if I keep this up, my book will never get publshed. Or worse, I'll just keep feeding the bastard who keeps perpetuating the myth that he originated the techniques I keep offering because it's my way to do so.
All dios start with an idea. You have in your mind what you might want, and the next step is to decide how you want to make it a reality.
If you suffer from what I do, which is lack of space, then decide what amount of space you can comfortably use, and work from there. When I drafted Doc Rob's backdrops for his exceptional Shannara customs, he told me that he was going to use a wooden display case, which was of limited dimensions.
(looks in the dio sketchbook)
Okay, Doc's restrictions were approximately 11" long, by 6" wide, with a height cap of 7". This is smaller than a shoebox to try and suspend disbelief. Sketch a few loose pictures of what you like to see in something that is limited to that type of space.
Two things you'll want to consider right away. Your light source is one. Just like drawing a picture, it is the same for dios. If you make a backdrop or room, you know that putting a roof will eliminate your viewable light unless the dio is lit artificially. I ususally go for the three sided dio, which is back, and side walls, leaving the front for your play area. For believable workable buildings, the dollhouse method of foundation, roof, sides, and an open back work marvelously in giving you a house from the front, and play in the back.
Next is your medium, which depends on taste. Foamboard is versatile, as is hard commerical foam. Some use MDF and plywood, others even storage containers,
Whatever you use, you will have to match tools to the working medium. Foamboard requires extremely sharp hobby blades, and I use my Xacto's in the large disposable box. With regard to joining, again, personal preference. I use hotmelt glue, others use PVA or Elmers. Pluv is 100% right in that a T-Square is almost imperative. You can buy $1.00 Drafting sets during the school supply weeks of small hard plastic angles and protractors, and these also will help immensely.
The Bob Vila method of "measure twice, cut once" will ensure that costly mistakes are kept to a minumum. Commercial hard foam, such as Dyalite and Blue insulation, can be cut and textured with a WonderCutter wire cutter, and even a commerical woodburner with various tips. A well ventilated area is IMPERATIVE, Take it from me, who screwed himself royally because I don't have that many windows and FL heat prevents working outside.
Save your blisters. Every single action figure I buy gets its blister inspected after opening by me as if I was a diamond merchant. I check for clarity, strength, flaws, and amount of usable material. I channel set windows, which means I trace the outer dimensions of the window material onto the foamboard, and cut exactly 1/4 inch to the inside of my pencil mark. This will leave you a hole 1/4" shorter than your blister material. It is then that you must cut, but not pierce the other side of the clay coated paper, along the pencil line. When done, carefully scrape out the cut area, and what you have left is a channel that you can lay the blister material into, yet it will not fall through the other side. Seal in place by running a bead of hot melt glue at a 45 degree angle to the foamboard and blister junction. This will create a permanent seal to the foamboard. Be mindful of those minute wispy glue tendrils, as they can ruin the clear blister if they lay across it so always pull your glue gun away going outwards from the window.
Decide if you want functional, or static. Static ones, like DocRob's backdrops, are just sets which give you a great backdrop or vehicle to suspend disbelief. Functional, such as SpinDoctor's training area, give you the option to not only play, but convey movement and flow of a story. Imagine if you will two of his characters going to the gun range, slapping a Joe sized $20 on the counter, setting up targets, and betting who will get the first bullseye. In a static dio, you convey this with dialogue and a before and after shot. In a functional one, you can stretch this scene for multiple panels thus suspending disbelief, and giving the reader more interaction and story. Just the targets traveling up and down the range alone can be multiple panels.
In the Wiki is a section on how to use the figure blisters of your single packs to create bathtubs, sinks, and pill blisters make excellent guages, or as in the case of Wowboy's Springfield toys store, actual blistered action figures on card.
You are only limited by your imagination, and available raw materials.