I figure it's not all that complicated, since looking at the shout, this is basically the procedure I imagined for creating them:

1. Create a magic effect that will do what you want a word of your shout to do.
2. Attach the magic effect to a spell.
3. Repeat 1 and 2 until you have 3 spells.
4. Create your shout and choose the spells from the dropdown for each word.
5. Create a message form for each word, which will be the name of the word.
6. Maybe voice the shout?

I'm not sure if 6 is necessary.

Aside from that, is there anything else to it? I imagine it's probably a bit more complex, but there aren't any good tutorials out there.