1. Install the SDK. Go to Tools in Steam (there's a dropdown box at the top of the Library that says All Games, click that and select Tools), then look for "Sid Meier's Civilization V SDK" in the resultant list. Right click that and select Install.
2. Download Kael's Modders Guide to Civilization V.
http://forums.civfanatics.com/showthread.php?t=385009 Don't bother to wait for the SDK to finish downloading, get it right away and start reading! It's slightly out of date, but you can brush up on current XML files by reading them inside the mod buddy (or with Notepad++ if you're old-school like me
).
3. Read some leader XML files. Look at those stats, then pick a leader from the game that acts a lot like you'd like your new leader to behave like. Copy paste that into your new leader file, edit stats to weight his (or her) personality, then set up art assets, change the tags and name your leader!
4. Create a new Civ or update an old one with your new leader at the head. Add your unique units according to the "Add a Unit" guide in Kael's Modders Guide. Season to taste.
5. Build the mod and test it. If it works, then super! If not, look your XML file over and, if you can't figure out where you went wrong, come back here and ask for help. Repeat until your mod successfully passes a test.
6. Enjoy the fruits of your labour.
