It's fun and no, it's not rocket science. But it can be a
lot of work.
It all depends how deep you want to go. If you have a cooking pot that sounds cool when you bang on it, and want to have it available to insert into a song, that's easy. Set up a mic, record it, trim off leading and trailing silence, and you've got a sample. Get a dozen pots and hit them with different objects, and you've got a library. SONAR's bundled sample player, Cyclone, is all you'll need. Assign each sample to one of the 16 pads and you've got a home-made percussion instrument. An easy way to get your feet wet with sampling.
With a full-featured sampler like Kontakt, you can get more creative. You can also go really, really deep - if you want to. At the simplest level, it's just a matter of dragging your sample files into an instrument map, so that you map each sample to a specific key/MIDI note. Quick and very easy to do.
Next step in complexity is adding velocity layers. Bang that pot lightly and record it, then bang it a little harder and record that, and then whack the sh*t out of it and record that. Now you have 3 variations, which can be mapped to the same note but 3 different velocity ranges on a MIDI keyboard. Kontakt makes that kind of thing pretty easy, too.
You may also want to extend the pitch range of your samples. Kontakt makes this very easy: you just assign the sample to more than one note and tell Kontakt which one's the center. Kontakt does all the rest, pitching the sample up for notes above the center and pitching the ones below down. Your pot can be made to sound like a cannon this way.
If you want to sample a chromatic instrument like a guitar, you're going to want not only different velocity layers but also different articulations. Now you've got to not only sample at various playing levels, but also in different playing styles for each level. For this you usually set up keyswitches, assigning a note that doesn't actually play anything but instead tells Kontakt to switch articulations. At this point you're getting into scripting, and that's truly a rabbit hole with no bottom.
The key to getting good samples is the same as any other acoustical recording: have a quiet, nice-sounding, appropriately reverberant room and a good microphone, then watch your levels. Don't worry too much about recording levels, because you'll probably be normalizing your sample set before assembling the library. Just get a good clean recording.
The drudgery in building a sample library is not only recording each sample, but also trimming and normalizing - and just keeping track of - a large number of files. Commercial libraries contain thousands of files, and even most modest libraries have a couple hundred. However, you can make useful libraries with only a few dozen files. My most-used home-made library has only 45 samples in it.
It's surprising how many files it takes to sample an instrument with only 6 strings and 4 octaves. Orange Tree Samples' Evolution Electric Guitar has 3,745 samples! Yikes!