A Digital Twin (DT) is a set of computer-generated models that map a physical object into a virtual space. Both physical and virtual elements exchange information to monitor, simulate, predict, diagnose and control the state and behavior of the physical object within the virtual space. DTs supply a system with information and operating status, providing capabilities to create new business models. In this paper, we focus on the construction of DTs. More specifically, we focus on determining (methodologically) how to design, create and connect physical objects with their virtual counterpart. We explore the problem into several phases: from functional requirement selection and architecture planning to integration and verification of the final (digital) models. We address as well how physical components exchange real-time information with DTs, as well as experimental platforms to build DTs (including protocols and standards). We conclude with a discussion and open challenges.