Click on the little triangle in the upper right hand corner of the action palette.
Choose the first choice, New Action, Give it a name, and a shortcut key and color if you want.
Then just do the series of command that you wanted to do then hit stop.
For example if i want to make an action that twirls an image, i would start a new action then go to
filters>>distort>>twirl then hit stop.
Most action are more complicate then this. If you want to be able to set the amount of twirl each time you have to click the little box (as in the first and third action) otherwise it will use the same number for the twirl each time.
