Markov state models (MSMs) have a long history in the physical sciences, where they are often referred to as discrete-time master equation models. Therefore, there are many well-established ways of working with and analyzing these models given a valid set of states. However, defining a set of states sufficient for modeling complex molecular processes, like protein folding, is quite difficult. The main purpose of this chapter is to provide a practical guide to building MSMs, with an emphasis on partitioning a molecule's conformational space into a valid set of states. We will start off with a brief discussion of some of the major requirements for a valid state decomposition. Then we will move on to a more detailed discussion of each of the steps commonly used for building MSMs, including an overview of the various options at each stage and their relative merits. Finally, I will introduce a few advanced topics and conclude with some future directions.