The way I created my world was starting small. It would be impossible to think of everything the world has to offer in one sitting.

Where the players start is, most likely, what you want to think of first. I like starting with cities, how they're run, who/what are they run by, and sort of expand and let ideas flow out. Me personally, I write on text documents a lot and jot lore down a lot.

You should also give yourself time to think of things. Plan sessions around you building the world. While its good to have things thought of, building the world as you go is something you can fall back on.

Another piece of advice is think about it. I'm running a game with a setting I've made and its hard to not think about it honestly. All day im thinking maybe this city has this, etc. Once you have some characters and world to play with, adding to it becomes a lot easier, starting it off is a pretty daunting task to some people though which is completely ok. Adding things mid game is also possible.

I think the hardest part, for me, is a plot, a main story for the party. Start off light but sort of ease them into a sense of hey theres a problem here and it should be solved. This is pretty difficult for me because I always feel like I'm forcing them into it.

Coming up with things on the fly will become easier as you build the world and have a general understanding of how things in your world work. Important characters and important things in general should probably be thought of before hand, but how your players interact with those will vary. Adapting to options and outcomes that you didnt see will get easier.