Here's a great video of one of the designers recording their Photoshop session and creating a icon

http://vimeo.com/36302707

I use this PSD to create icons, it comes with a PS Action that resizes and exports the icons based on the biggest design so you don't have to make each one. It also puts it in situ!

Download it here http://www.pixelresort.com/blog/new-app-icon-template/