First, you will need to have a 3d manipulation program such as Blender, 3ds Max, Maya, or even 123d or Sketch Up.  I would suggest Blender.  It is free and, though it has a steep learning curve, it is capable of a great deal of things that will make your life easier while making or editing your prop.  Whichever program you decide to use, play around with it before you dive into trying to create or edit your prop's mesh.  The more you know about the program, the less angry and frustrated you will become when actually working on the prop.

Of course, you will need the prop itself.  You can either make it yourself using references or you can sometimes export it from a game (if you are cosplaying something from a game).  There are a few tips and tricks for both but there is more to it than I feel I can cover in one post.  Thankfully, there are a great deal of tutorials out there to both help you create and manipulate such meshes, as well as tutorials to help you export any files you might need.

When creating a mesh from references, I would suggest getting pictures from as many angles you can get.  At least a side-on view and prefereably a front and back view, as well.  If you can get those and a top and bottom you will find you job to be much easier.  By mapping that picture to a plane within the scene you are creating your mesh, you can shape your mesh directly to the image, allowing a job that is so much easier than without.

When exporting a mesh from a game you have the benefit of not having to create the model yourself.  However, the requirements for a mesh in a game are different from a mesh for printing.  Namely, a game mesh doesn't need to be manifold (imagine water-tight).  This can cause a great deal of problems when trying to print.  What this means for you is you will find yourself spending a lot of time fixing the mesh so that it will print correctly.  You will also find a lot of model faces that are dangling within the mesh itself where one part of it meets another.  For example, imagine  a fallout vertibird - the likelihood that the wings will actually be connected to the body of the vehicle are pretty thin.  The base of the wings will likely be 'floating' inside the body's mesh.  This is something you will need to alter to insure a good print.  Further complications come from models that are a gestalt.  This means the model itself is puzzle pieces that make up individual models withing the game.  A good example of this is the weapons in Borderlands.  There are many different barrels, grips, bodies, stocks, sights, and more that make up the variety, let's say, an assault rifle.  When the game randomizes that gun, it takes the model bits that correspond to the weapons prefixes and suffixes.  But, when editing the model, you have to deal with ALL of those parts.  That means you will need to separate or delete the meshes that are not part of the prop you want to print.  After dealing with the parts of the gestalt you don't want you now get to work on prepping it for print as described above. Depending on the complexity of the model, these things can take a great deal of time and you should be prepared for that and start EARLY.  This is not a project you should begin the last week before con.

So, all that said, here are some quick and dirty things to know before you start to print:

1. It will take time.  More time than you might think.  I have heavily modified my printer to allow me to print at higher temperatures and quicker speeds, but some pieces still took 6-8 hours and a couple pushed 12 hours.  The better you want the final product to initially look, the longer it will take.  This can be a minor inconvenience if you have other things to work on while it prints.  If you don't, it can be frustrating.  
2. If it is a large print, you will need to split it up into multiple jobs.  This can lead to other frustrations which I will go into above and further below.  
3. You will need to spend a decent amount of time securing your prints together.  I find that editing posts to center the parts together can help a great deal.  If you are printing with ABS you will want to use ABS glue.  This stuff is alternatively called ABS juice, glue, goop, and any number of other things; I generally use these words to refer to the consistency of the mix resulting from the ratio of ABS to acetone.  It is a mix of ABS plastic and acetone.  For the ABS in this, I suggest using failed prints, support material, or pieces of filament too small to use for other things.  This stuff is great and can be used for a wide variety of things from a smoothing agent, an adhesive, a way to soften your print to mold portions by hand, and more.  This stuff works much better than glue for ABS pieces in that it actually melts a portion of the pieces you're a attaching, basically fusing the pieces together into one piece as if they were never separate.  This is a messy project, though.  So be ready for a good deal of cleanup.
4. If it is a reasonable to large prop, you will use a good deal of filament.  Be prepared for that and its cost.  Have multiple spools ready for the certain eventuality that you will need to swap out.  Depending on the cost of the filament, your prop could easily cost you $30 to $60 dollars or more in filament.
5. You will need to do a lot of finishing.  No matter the print resolution, you will have a great deal of sanding to do. In fact, unless it is a small part with some fiddly details, I wouldn't bother using a print resolution lower than 300 microns (.3 mm).  You are going to be sanding it no matter the resolution, so you may as well save yourself some filament and time by printing at a higher resolution. Something which leads to the next bit.  
6. When you are finishing your prop, you will have plastic dust everywhere and the heat generated by the friction of sanding/grinding/cutting can or even WILL melt plastic.  While you won't really need a respirator while printing (for most materials, anyway), you will certainly want one for this portion.  You will also want to be sure you have goggles or work glasses to keep that plastic dust from your eyes.  While you're at it, use a shower cap for your hair.  
7. When you start to paint, be ready to try different primers and sprays as it will react differently from other surfaces.  Look for paints that specify their use on plastic.
8. Have some tape and bondo on hand if things get ugly.  I prefer to use drywall patch tape over other types.  It is essentially a netting with adhesive on one side.  It creates a framework for the bondo to work really well for reinforcing parts that might be fragile or deal with a degree of stress that concerns you.  Using the drywall tape with a couple layers of ABS goop is a great solution, as well.