What exactly do you need to know?
Size? (at least 640 x 320 for the background)
Code? (pretty much the same as regular stages)
Programs? (Photoshop or GIMP, infraview, and Fighter Factory, also easy stage creator)
Animations? (Find the tutorials in the help section or go to youtube)
Tips? (also in tutorials)
If your looking a one page say all and end all tutorial, there isn't one. You'll have to look in various different tutorials to get ALL the info you'll need to do it right.
Use this as a start up point
http://www.infinitymugenteam.com/Forum_345/index.php?topic=556.0Good Luck and I look forward to seeing your stages in the future