So, you want to create your own anime character, right? Thankfully, it's not too difficult a task to accomplish. You need to remember, though, that creating your own anime character is far more than simply crafting an image for that character.
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The first thing you should do is to create a stencil drawing of what you want your character to look like. Write some notes on it for any special abilities or features of this character, and refine as needed.
Once you have a basic sketch drawn, you need to create a storyline for this character to be in. It's not all about the drawing aspect, the storyline is important as well for an anime character. Anime characters have little purpose without a back story to go with them.
Now you need to decide whether you want to make your character by hand or on the computer. Unless you have substantial art skills, it's more than likely that you'll want to create your character on the computer. If that's the case, take a look at http://www.kongregate.com/games/sdanond/anime-character-generator-female-version.
Use the link to Kongregate.com to finish your character. Try to post your character along with the backstory on anime forums, as getting critiques is the best way to advance your own skills. Most importantly, have fun!