Not everybody can draw well by hand. That's a separate skill, but is related to spriting. However, if you can draw something that even halfway resembles a human being, I would strongly suggest making a rough sketch of how you want the final character to look. This way you have something to keep looking back on as a visual reference. Even if you can't draw that well, I'd still recommend making a line skeleton, which shows the position all his/her body parts will be in. (You can draw lines and circles... right?)

On this page, I didn't know at first how I wanted her eyes and nose to look, so I drew several examples before deciding on the ones I thought looked best.

Make a basic outline for the character. It doesn't have to be perfect yet. If you're unsure about how to make the proportions or shape, use a canon character for scale. Find somebody who is about the same size that your character will be. Maybe even draw the outline on top of them first.

Edit the outline as needed. Here, I adjusted her head so it wasn't tilted downward quite so much.

Choose the color palette. Sprites from the first three AA games used 16 or fewer colors. AJ sprites use more (I forget the exact amount). Keep the color selection limited, because if you use too many, it will lose the Ace Attorney style. For a first time sprite, you might want to stick with 16, just so you can get used to working with a limited palette. Here, I'm using 18 colors, not including pure white.
Fill in each area on the sprite with a "base" color.

You should have a better picture of how the character is going to look now. If you still need to, fix any outline issues there might be. Here, I adjusted her head some more so that she's staring straight ahead, instead of down. Also, I adjusted her shoulders and chest and made her a bit shorter.

Put in basic shading. It doesn't have to be perfect yet. Once again, if you're unsure of how to do it, your best references will be the canon sprites. Look at them to see where the darker shades should go.

But whatever you do, don't just put dark colors around the outside and light colors in the inside. That's called "pillow shading" and in most cases it won't look very good. Think of where the light source is facing your character. That will affect where shadows show up on his/her body.

Put in some basic anti-aliasing. Anti-aliasing is to make the sprite's edges appear less jagged. Before, you could more easily make out individual pixels in her outline and here it appears smoother. It's hard for me to exactly describe how to do anti-aliasing well, because I'm still getting the hang of it myself. AA 1-3 characters used some, but generally not a whole lot of it (due to the 16 colors thing, probably), but AJ and the AAI games have quite a bit. Try putting a medium tone between the dark outline shade and the lighter inside color.

I've mostly ignored the face and hair for now, because those are a whole 'nother beast.

As I said, facial features are a whole different thing from the torso and arms. Faces differ SO much from character to character, so there's no single method of doing anything. Even with noses... Compare Maya's small mousey nose to Luke Atmey's Pinocchio one... And then compare those with whatever the heck Victor Kudo is supposed to have. They're all entirely different.

Your characters' faces are going to be different for each character. I know it sounds like a broken record, but... Once again, look to the canon sprites for reference. There's a whole bunch of characters and odds are one of them has something similar to what you're looking for. If not, search for other anime characters to compare to if you don't know how to work in the shading and detail.

Out of all the facial features, the eyes are probably the most important. These are what people will focus on the most when they look at your sprite. And they tell a lot about the character's personality. A younger, energetic character might have large round eyes. Somebody who is more serious will have narrower eyes. An evil character might have triangular, slitted eyes. Be very careful how you make them, as they'll do a lot to determine how people view your OC.

Hair can be complicated to make as well. Like the eyes, it says a lot about a character's personality. It can also be one of the hardest parts on the body to make right if it's a complex hairstyle.

Add any extra details you feel your character needs. I thought her shirt looked rather plain, so I added a little bow for her to wear.

Make any final edits to the shading, anti-aliasing, or outline that you need to.