I think most of the people will tell you to start small, with a simple area, such as a village, and to expand from that, as the characters will explore.
Of course, you need to have a general idea of the setting consistency and persistence, but not in full details.
Things can be mentioned without much precision, and whatever the players/characters seem to be interested in is then put in the spotlight and given details.
Basically it helps you to develop what your players care about, therefore not wasting any time on dozens of pages that nobody would ever read.
i have found the easiest way to start is by drawing up a very basic map of your starting continent and slowly fill in with detail.
ok after your map is drawn then start putting in borders of kingdoms, then figure out where you want your races to live.
once you go down this direction it becomes very easy, you should even let your gaming friends help with some of this that way it is a world you all made to play in.
me and my friends are doing just the same thing.
I find writing down what you want from this world will be. Magic/tech level, new gods? and such. basically you must have a reason other than it would be cool to design your own world get it down on paper and work from there.
Then when you have your basic out-line to what this world is, follow the above suggestions and work 1 area to the next. Again write out a brief outline religion, society and such.
I find this alot easier than starting with the maps, which I do later after everything is down on paper (or computer LOL)
This could be due to the fact I forget stuff LOL.
Are you doing this for publication or for playing?
If you are only playing, my suggestion is that you find a published source you like and modify freely. Consider the source collaboration with another writer. You'll pick up a lot of artwork, continuity, and homework while you add whatever suits your fancy.
Even if you're not going to use a published setting you owe it to yourself to sit down and look at the production values of settings already published. What do you find useful? That's what you should do first for yours.
Make a list of must haves based on another successful product.
With world building there are always two competing approaches: 1) minimize gruntwork you may never use by sticking to what you really need right now and 2)Do your homework so the world has an influence on your situation to give the setting flavour before your players get to it.
Adapting a published setting might teach you something and cut down your workload.
Sigurd