This is a sizeable project, so let's start with an overview of the steps:
1. Download the kernel source.
* Understand the kernel versioning system.
* Verify the digital signature (proving data integrity and source identity, at least within a reasonable level of confidence).
2. Install the kernel source in /usr/src/linux/.
3. Configure a new kernel build.
* Start with a useful initial kernel configuration file.
* Go into the build configuration tool and customize your new kernel.
4. Build that new kernel.
* You can build it the traditional way, as a large collection of files, or you can build it as a package and plug it into your configuration management scheme.
5. Install that new kernel.
6. Reboot and run your new kernel!