Personally I start on a grand scale: the overall universe.
For me, that developed over time (and is still developing) as a homegrown space opera setting with a lot of inspiration from my favorite books, movies, games, etc.
If you think of a sort of cross between Traveller (but without one clear Imperium), Rogue Trader era 40k (some of the gritty frontier bits, not the empire), Original Trilogy Star Wars, and Homeworld, you'd probably not be that far off from the overall feel of the galaxy.
Aesthetics also matter, especially on a more detailed level. My aesthetics are mostly inspired by a mix of Firefly, a bit of pulp Sci Fi here and there, Traveller, and Mass Effect (oddly… that doesn't sound like it meshes with Firefly, but I make it work, somehow.) Also the movie Moon (if you haven't see it, see it!) in that there are lots of small, isolated stations…. much more than true colony worlds, let alone homeworlds.
Once you have that, you can start working out the galactic map (or just a large area within it, if you want to maintain some wiggle room for later), which shows systems, planets, moons, and stations. Also, political entities. At this point working out a setting for any one war is simple.
I think whats cool is that players tend to make settings in their heads naturally, without thinking about it. Mine started as I slowly adjusted my RT games to fit my weird Traveller/Firefly/Star Wars mix, which then slowly became effected by more sources as I realized I could play whatever I want without hurting my space marines' feelings…
takes some South Africans and turns them into urban bad guys.
