Measure the wall where you'd like the shelving to be---top to bottom, and side to side. On a piece of paper (graph paper is best), sketch some designs for your shelves. Consider the height, length and depth of the shelves, as well as the distance between them. Make sure you are allowing enough space for the items that will be on the shelf---that they are deep enough for your books or tall enough for a vase, for example. This is the time to experiment with different configurations and designs. To save time and lumber, design your shelves around precut lengths of board---typically 2, 4 or 8 feet.
With a pencil, make light marks on the wall where you want to place your shelves. Measure up from the floor for each measurement for consistency, and check the marks to make sure that your marks are level, so that you shelves don't slant from side to side.
Use a stud finder (see additional resources) to find the studs behind the wall. Then screw in shelf brackets (see additional resources) every 16 inches in the locations where you'll be putting shelves. The shelf brackets will be held in place with wood screws that need to be long enough to go through the wall board and into the wood of the studs. Generally, a 2-inch wood screw is sufficient.
If you did not use precut lengths of boards, cut the shelf boards to the desired length. Sand the edges if needed.
If you want to paint or stain your shelves, do so before you mount them. Then put the shelving boards onto the brackets and secure them with a small wood screw connecting the bracket to the shelf. The size of brackets will depend upon the board size---for the best support, use brackets that can support the entire depth of the board.