Gather or purchase the items that make up a reborn doll, and work you way up. The best way to start is usually by finding a doll base that you can recreate, in order to have a building foundation.
You can do this by picking up any doll at a store or thrift store, and removing all of it's character features, such as eyes, hair, and any paint using a gentle paint stringent. You will have to find replacements to customize your doll in any manner that you like, which are available on several places on-line.
You will also want to include anything like glue, new paints, and craft scissors. You will want a basic rooting kit in order to create hair, unless you choose to use a full wig, which can take some of the realism away from the finished product. A good rooting kit will come with needles, pliers, a comb, and in some cases a mister to fix the hair once it is applied.
Embellishments for the face are very important, so don't forget to have items like eyelashes on hand. You can buy these in different sizes and thickness, and in different colors. Clear lashes are also available, which can have color added to them separately.
Clothes are sold separately, but you can also make your own. Most reborn doll kits have a little package of clothing accessories like beads, patches, and bows to add.
All of this can seem a little complicated, so if you are just starting out you may want to try using premade doll heads, which have already been molded to look like a real baby's. All extra features can be added from there to customize it.
What's it worth? Take a look at this Reborn Kit price guide: sold listings for a value indication.