I really wish I had the effort to write up a nice tutorial about this stuff, cause I'm not very well known around here for my artwork, although I do plenty of it on the side.
Basically there's a few basics layouts you want to decide on:
-background w/fighting game characters
-interactive background *looks more commercial, such as MotorFish, AceTKK, etc.'s cps*
-classic background such as
http://james10583.tripod.com/index.html which uses the gauntlet principles with his own touch
You can also try to get other people to do your CP, but first of all, thats no fun for you, you usually don't get what you want, and most people are lazy and don't come through.
There's also some CPs you can just have fun with, experiment with different settings, etc. I included an example of a control panel I was working on until the dude bitched at me about wanting more flames/blood/zombies.... yes.....
-Once you get what you want figured out, message again and we'll work from there
-Luke