Creating the world
Remember how you started the first session? With action either underway or impending? At some point the characters are going to need to retreat from that action, either to heal their wounds or to celebrate and resupply.
When the players leave the site of their first adventure for the safety of civilization it’s time to start drawing the campaign map. Take a large sheet of paper (plain white if you like or hex-gridded if you want to get fancy), place it where everyone can see, and make a mark for the site of the adventure. Use pencil: this map will change. It can be to-scale and detailed or broad and abstract, depending on your preference, just make it obvious. Keep the mark small and somewhere around the center of the paper so you have space to grow.
Now add the nearest steading, a place the characters can go to rest and gather supplies. Draw a mark for that place on the map and fill in the space between with some terrain features. Try to keep it within a day or two of the site of their first adventure—a short trip through a rocky pass or some heavy woods is suitable, or a wider distance by road or across open ground.
When you have time (after the first session or during a snack break, for example) use the rules to create the first steading. Consider adding marks for other places that have been mentioned so far, either details from character creation or the steading rules themselves.