Can't really say that I ever created a new unit, in theory I could figure it out though so I can try to tell you which files you have to look at and, possibly, which tools to use, but usually my guidelines aren't really helpful because they're too short. Besides, there's not many secrets to share, most of us are autodidacts and that's what you'll have to be, too.
Anyways, you might want to start editing an existing unit first to get a feel for the files you need to edit; it's commendable and understandable that you want to start with adding a new unit but you need to know your limits, so consider yourself warned.
Units in M2TW consist of a model, a texture and a bunch of text entries (and, optionally, animations and such but I've not been following progress in that area lately). To find which models and textures are used for which unit you'll have to take a look at battle_models.modeldb (I'd propose to use a tool written by KnightErrant to beautify it I've forgotten the name of) which links a unit entry to the graphics side.
If you want to edit a unit model or texture you'll then need to convert the appropriate files to a format you can read with a normal editor (using either GrumpyOldMan's or KnightErrants mesh unpackers, and a tool to convert textures - there's one I wrote and I've been told there's some sort of editor natively supporting the .texture format), edit them, and convert them back. If you set up your mod folder correctly, this should then already show up in the game.
To add a new unit, you'll also have to create a new entry in the modeldb, and in export_descr_units.txt (for the internal stuff) as well as text/export_units.txt (for the localised name and description). That should be all of it, it doesn't sound too much but it's tedious stuff the first few times you do it.
There's also quite a few tutorials (here, on the TWC and maybe on heavengames) that talk about adding units, editing meshes and stuff, so go and have a look at them. We're doing this in our free time so don't expect people to give you a complete subjective walkthrough in baby steps because that's just something that doesn't happen.
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