Not much different than making any other string. wtpops hit on one of the more important aspects--you have to be more precise with the length, because they are less adjustable.
You also have to be sure to pad the loops properly.
Every material has it's own characteristics--some you will have to allow for more stretch/creep than with others.
Finally, getting a proper nock fit. There are different ways, but you don't want to wind up adding most of the weight you saved right back in a critical point.
Just experiment and see what works. Some bows may like a "skinny" string, some may not--try a little of everything to see what works best for you.
Chad