Choose a theoretical approach to work with. Popular ones include: New Historicism, Psychoanalytic, Intertextual, Reader Response and Deconstruction.
Research a particular work of literature and a particular theory. You could write solely on a critical theory or critical work, but typically those in the field apply a particular theory to a work of literature.
Outline the basics of the critical theory in the intro of your paper. Include a thesis statement in the first few paragraphs or first page that highlights your approach and what you'll be supporting within the body of the paper.
Quote your research and the references that support and lend weight to your claims. Your writing should both detail the critical approach and apply it to a work (if you've chosen this method). A paper solely on a critical theory should detail the history of the theory and its major adherents.
Round out the body of your paper with original work of your own. Take a stance on a piece of work or on the theory itself. Give it merit by referencing your research and the work of others'.
Close out the piece with a one-paragraph summary of your approach and what you've covered in the body of your paper. End by mentioning what the impetus was for your work and what you believe you've accomplished.