I'll assume you know what linkwheels are and how they work because you want to build one, knowing their value probably.
To build one manually, have a number of web2.0 webpages created ( like squidoo, hubepages, blogspot etc). The number is up to you. I usually go for around 7 to 8 if I do manually because its tedious. Just make sure each property links to your main site, and then link to the next property in a sequence. Thus each property has 2 links. You may also use the same article for all properties, but just be sure to spin it. The higher spun the quality the better as each property will be more unique. This forms a circle link network, known as the link wheel. (Go search google image linkwheel to see how its like.)
A few factors to take note of before you build the link wheel. First, make sure the properties you use are ********. This is especially important because of linkwheels are only powerful if you can let the linkjuice flow. Having a nofollow will cut off the flow. Another thing I suggest is to change the properties used and thew sequence of linking each time you build a new linkwheel to make it less obvious. The last thing is to make sure the linkwheel is not closed. Some people say this will let out some of the linkjuice and make it less powerful, while others say it reduces footprint thus making your site less likely to be penalised. I say its better to be on the safe side and just build more links.
Building using automation tools like linkwheel bandit or rankbuilder or senuke(bit harder as it is not designed to form linkwheeks on its own, but still workable), is the same, but just that the steps are faster. If you value your linkwheel network, make sure to ensure that the quality of article is higher and just don't use crappy names to start the account for your network to make sure they stick.
After that, the linkwheel can serve as your tier 1 links, and just blast the hell out of them with amr, xrumer, sb and other big linktools you can to increase their linkjuice and get them indexed faster for a more powerful wheel.
Kinda like a link-wheel pyramid.