Step 1: Brain Storming
Before anything that involves a computer or a sketch you write first. Write thoughts or details about what you are going layout and the idea behind it. By doing this first step it'll help to narrow down which ideas are great and others that are not.
Step 2: Thumb Nails
Thumbnails are the doodle versions of your brainstorming thoughts. They are not meant to look great yet, but it gives you a visual of what your idea will look like. This helps to narrow done which ones you know you like and don't.
Step 3: Rough
You can begin working on the computer for this step. This is the singled out ideas from your thumbnails but blown up. It's gives you a visual of what your mark-up could look like.
Step 4: Comprehensive (COMP)
A comp should basically be what you're mark-up is going to be; may lack some details depending on what you're doing.
Step 5: Mark-Up
A mark-up is the finished product of the idea process. It has all the details you may not have added in the comp. You should have a delivery file (a .jpeg or .png depending on the receiver) and working file (any file that you have saved for possible future reference or emergency) ready now that to you are done.