Once your have thought of your gimmick and have it set in stone, you want to role play to show off your character the best way you can. I find this to be the most important piece of your character.
Generally, I find a segment in the interview room or in ring is best for your first role play. Of course this varies on your gimmick. Your gimmick plays an important part as you describe your character for the first time.
You want to describe your characters looks, its actions and how it speaks. A heel is always the easiest I find at the start because you can do anything to get heat even as an unknown rookie. While a face is tough because the fans wouldn't know a thing about you and to come across as really liked off the bat is a tough one to crack.
One thing you want to do is speak as if you're the character. You need to believe you're that person and have a comfortable way of doing it.
Some love to show actions over words while others do the opposite. You need to be comfortable with it.
Last thing I should add is when you describe your character, make sure you include everything possible about your character, what he's like, how he acts, back story if need be.
Subject: Building your Character 