Battlefleet Gothic had rules for rolling up sector stats and Warp travel routes - but of course you don't actually need a ruleset just to create a setting. My advice would be to look to the existing material for inspiration about the basics, and then fill in the details with your own stuff. Start with defining how many planets/locations you want to have, then write down their type (ensuring to offer a somewhat balanced number of different environments and tech-levels), and finish by finding names and a short description. At this early stage, a map isn't important, but it would not be wrong either and might trigger more ideas. If you care for a certain degree of realism, you could attempt to flesh out the sector by "back-tracking" its history (specifically in terms of trade centers etc).
Stuff like individual characters or the presence of specific Imperial organisations and their relationships (surely also involving/offering a couple plot hooks) would come last, though you should of course take notes whenever a neat idea hits you, so you can pick it up later on. Also keep in mind that offering one or two unique species of animals or native intelligent xenos might be interesting. A couple relics (both human and alien) might be neat, too, but don't overdo it - sometimes, less is more. If you manage to find people sharing your vision, you can also make it a group effort to fill more content in less time, though of course this can be as much a boon as it can be a risk, for whilst more people means more ideas, not all of them might line up with your own vision.
Above all, have fun. Creative development can be a lot of fun.