I'm still working on my first game... But here's how I plan to create it.
Basically, I first think of a plot. I develop this plot into a short story which shows the general events of the game. This story does not have to involve specific characters yet, and it doesn't have to be long -- Mine was half a page in A4 format, with letter size 12 in Word.
Once I've created the plot, I divide it into different chapters. I create these chapters individually, and do not begin on the next before this one is finished. For these chapters, I create a list of actions and events that will occur, in chronological order. At this point you should also start making up names for characters and locations.
When you're finished with a chapter, it's time to start making concepts for the characters and locations you've just named. Especially regarding locations, you should try to either play around in separate maps to find a design to your liking, or sketch something on paper.
When I've created my concepts, it's time to start making some monsters. These can be either generic or important to the plot -- Whenever you use which depends on the story you've created for your chapter. Monster stats are difficult to balance correctly though, and this often requires a lot of testing to do correctly. This is where I current am myself, and the only advice I can give you is to start off with weak monsters. Facing strong monsters which can kill your group from the start of the game gives the element of challenge, but can also be very annoying if your healing options are limited.
Once the regular monsters are created, it's time to make some bosses! These are basically the same as regular monsters, with the difference that they should be very well able to kill your group if you’re not careful enough. The first few bosses can be easy, but beyond that you want to consider making much trickier bosses. What I plan to do is the following: I take 10 tries at the boss, with the best equipment available at that time. If I win more than 5 out of 10 tries, I increase the boss’ strength. If I win less than 3 out of 10 tries, I decrease the boss’ strength. If I win between 3 to 5 times out of 10 tries, then I consider the boss balanced.
Then, lastly, I start creating the maps. To me this is usually the most boring and off-putting part, though other people might find it more enjoyable. Anyhow, I’m very inexperienced with this myself, and I’m afraid I can’t give you any advice on this matter.
And that is how I plan to create my game!