1. First off you need Adobe Photoshop, I wont go further in this subject, and if you cant get it there is always a free version called GIMP.
2. The next step is to get a test server on wich you can test your WordPress template on the process of making, trust me you wil make a lot of refreshes. I often use xammp, its free and usefull.
3. Firefox is a must in every man woman and child who surfs the net, so use it often on your wordpress projects.
4.You will need an empty wordpress template, or a stripped to the bone wordpress template where only the semantic code is present, but the style is up to you. I use in all my wordpress template development projects the Starkers wordpress template by Elliot.
5.If you are a beginner, then you need some advice, and a previous post of mine will help you make a wordpress template.
6.Sometimes I need stock and vector images and the best place to get them is bazaardesigns.com
7.Now you need to make your wordpress template accesible, like getting a wordpress theme options page
8.Last thing you need to do is get your template into the wordpress template directory with you link in the footer, and with a few hundred downloads a day, well you do the math and BANG! instant SEO .