Conceptual photography is like any other. Have your image in your head, figure out what you need - costumes, lighting, location (or studio), models, make-up, etc and write it all down.
Sketch out some ideas or build a Pinterest board with images you like or that are similar to what you want to achieve.
It's like booking a holiday. First you need to book flights, then accommodation, then work out how to get from the airport to the hotel, then what you want to do on each day etc.
It's just about planning. There really is no book to tell you how to do it. I'm doing one myself based around a headdress.
First, I found someone who also wanted to do it, then we made a Pinterest board, decided what we liked and I started gathering bits together to make a headdress. During that time, we thought about what else she should be wearing and what kind of atmosphere we want to have.
Once I'd made the headdress, and we'd found a few more bits of costume, we went into a cheap studio and did a few test shots, just to try out some poses etc.:

Concept shot by
Ian Forknall, on Flickr
This is nowhere near the finished article, this was just a test, but now we know what poses we want, roughly what the costume will look like, etc.
You really just have to do it step by step until you have all the bits in place, then just go for it. There's no right or wrong way to do this sort of stuff!
I will say though, that it takes time. I've been planning mine for about 6-7 months now, purely because bits of it cost money (like my headdress etc - that has cost me £200 so far!), finding a studio with the space/facilities I need/want, finding time in between my day job and normal life, how to make or where to buy bits and pieces, etc.
Unless of course, you're rich - then you can just buy everything and off you go! ;-)