Setting a Custom White Balance is done using a white balance "target" such as a card you get from any of many sources. A quick Google for "white balance card" showed many possibilities:
http://www.google.com …urceid=ie7&rlz=1I7ADRA_en
Pick up any one of those and it's simple: you can get specific instructions in your camera manual (look in the index for "White Balance" and it will give you several possible approaches. For the Custom White Balance it will be to set your target in the lighting that you will be using and take a shot of it and then, following the instructions in your manual, you will register that shot as your customWB image and set your camera to use it.
You would repeat this process for each scene with unique lighting.
In general, there are scenes where you don't need to bother -- in daylight you can either shoot Auto WB, Daylight, or, if applicable, cloudy, shade or whatever. But indoors having a Custom WB can be valuable because artificial lights can throw things off.
As others have said, if you shoot Raw you can get away with doing the setting in Raw processing software, although it can still help to take a shot of the WB target in the appropriate lighting.
But for jpeg shooting, it can be quite important to do the custom WB in-camera.
