This has a lot to do with the race (and gender) that you chose. Most of the times, a family or last name is needed. If you don't have a last name it should have a good reason (IE your family banned you, you were an orphan, odd background culture, etc).
Your race is the first thing which should be taken into consideration. Elves, for instance, shouldn't have human names (like George or Ted).
Be creative, but try to pick a name that's easy to say. When people read your name, they mentally say it in their mind. So if you pick a name like Balalaika.
You need to get a vague idea of a personality. A back-story which would fit that personality, and most importantly FLAWS. Nobody is perfect. Maybe your Paladin drinks to much...or maybe he is a womanizer. Who knows, be creative.
Personality should fit your race and class and not go against it. Orcs are evil, dwarves are arrogant head-on people, etc.
First you need to visualize your character. This is more than figuring out what race, class, and gender you're going to be. After choosing those, there a few more basic things to do.
You need to consider your race and class in this decision. Elves are relatively shorter and thinner than humans. Orcs are very heavy-built but kind of crouchy and full of scars, Dwarves are short and bearded. Humans are varied and have some freedom. But then again, elves do not grow facial hair.
When that's done, put it into the in-game profile! This is a good way for people to imagine what you look like.
Don't worry about mapping your character out entirely. A lot of your character's personality will develop as your roleplay. So just let him/her grow as you play.
There are two outlooks here, mechanical and plot. The former deals with levels, feats and perks, and the latter regards your character's personality as their story mingles with the general plot.
Once you have a character, you have to accept that you're most likely going to be a weak insignificant chump for the first 14 levels or so. That's just the way it is. It is important to stick with your character. Nothing is more annoying that somebody who flounders through many character in a short period. If you do, your characters never get a foothold in the world.
Sometimes, sadly, being a high level is almost as important as good RP. A lot of aspects in this game revolve around war, adventure, and violence. So it helps to have a character that won't be one-hit-killed by a hungry farmer. If you're a level 13 fighter, some of the veteran and key plot players might not listen to you, despite the fact this is looked down upon. But, this doesn't mean to forgo all RP until you're a high level.
Join a guild, make friends and be social! Humans can join the city guard and get help leveling up. After a while you can join some higher level characters as they explore caves, or go on some other sort of adventure.
Try and stick with the personality you chose at the beginning. Think like a real person; you don't change sides or dogmas without a good reason. If you're a goodly priest and a vampire demands your help, be aggressive and attack him, even if you know you're a lot weaker and that it would be really cool to become a vampire. It is not unlikely, however, that characters change their way of thinking due to personal experiences. Any evil warlord may turn neutral if a pretty woman falls in love with him and asks him to try and be good.
If you made a mistake, said something you didn't mean to, missed something which was said, don't go OOC. Try relating it in game somehow. Be ready to accept the consequences of your actions. If you break the laws in town...you're going to get locked in a little box in a little room in the corner of the city. You'll be alone...for probably a few hours..maybe a few days. That's prison.
On the same note: Sometimes things won't go your way. Sometimes you'll be looted, sometimes you'll get attacked and killed without a reason. It happens, don't flip out, read the Shard Rules and if what happened is illegal then calmly join Discord and ping staff. Remember that this is a game and sometimes you might lose.
Behavior and OOC issues
You don't need a GM for everything in the game. The only thing you really need a GM for is when you get stuck or experience a bug. Everything else can be role-played In Character. Try organizing events on your own. Create a guild or Private business and apply for Goals. If you have a quest idea, then you can tell a GM about it.
See Shard Rules: