I'm making my world up as I go, so a suggestion or two, on things I've done, and things I should have.
Firstly: Maps are useful, so if you are able, make one. Don't put cities in or anything just yet. But map out a continent or two. Peninsulas, bays, oceans, seas, mountain ranges, valleys, deserts, forested areas -- maybe even a city or two, if an idea hits you. This gives everyone something to map out, and reference. A player can decide his halfling rogue is from a village to the north, just south of the Eldenar mountains, and the GM says there's a major port city that they sold their crops at fifty miles east, where another player has an elven fighter at, so forth, so on.
Two, if you have a plot idea in mind, don't be afraid to tell a character that their idea won't work.
Thirdly, quickly decide what level of technology and magic the world is in.
A world you make up as it goes makes for a lot of leeway in creating things and plot hooks -- just be sure everything adds up in the end. If you need a scorecard to keep track of all the fallen past civilizations of the Old World, you may be in too deep.