Constructing A Puzzle
To build a puzzle, simply clear the board (Construction->Clear Board). After this, entering numbers is just as when solving. Be sure to turn on the Hint Marks (F5 or Actions->Hints->Auto-marking possibilities). Turning this on allows you to see if you are building a board without a possible entry in any cell (there will be no mark numbers present in that cell). By adjusting the logic of the auto-marking, you can tell if a cell will have possibilities removed by "turning up the smarts." To make a very difficult puzzle, construct it so that, even with all hint logic turned on (Actions->Hints-> Hint Logic) you still have two or more possibilities in many cells.
While building your own puzzle, check the number of solutions often. A true Sudoku puzzle only one solution, so you must adjust the puzzle until there is only one puzzle. Sudoku is a tricky set of mathematical relationships, and a single number can cause a board to go from "more than 5" solutions to zero immediately. If this happens, be sure to check the Auto-marking (F5 or Actions->Hints->Auto-marking possibilities) to see what numbers it sees as possible. If there is only one number, try leaving that cell blank and entering more "starts" elsewhere.
Fiddling
At times, you may want to remove all the numbers that are not necessary for the game to have as starts, without allowing for moe than one solution. Sudoku Koubou itself does this by trying to clear each filled-in cell of the starts and counting the solutions. If it continues to stay at 1 after it has removed the number, it leaves the number off the board.
Save Your Game
If you've entered a configuration you enjoy, or copied one from another source, "set" it as the start of a playable game (Construction->Set Current Board As Start). Optionally, you may add a comment (Actions->Comments/Best Times). Then save the game to a file using a name you like, so that you can return to it or send it to a friend.
If you are building your own puzzle, check the number of solutions as you seem finished. (F10 or Construction->Solution Count)
Once set as the start, your constructed game's numbers will not be editable. You should then save the save as your own file, then try to solve it.