This tutorial:
http://techdroid.kbeanie.com/2010/02/sign-your-android-applications-for.html
was very helpful for me the first time I had to create a keystore. It is simple but the instructions on developer.android.com are a little too brief.
The part I was unsure about was where to save and what name to give the keystore file.
I seems it doesn't matter where you put it just be sure to keep it safe and keep a number of backups. I just put it in my app directory
Name the file "something.keystore" where something can be whatever you want. I used app_name.keystore, where app_name was the name of my app.
The next part was what to name the alias. Again it doesn't seem to matter so again I just used the app_name again. Keep the passwords the same as you used before. Fill out the rest of the fields and you are done.