An easy example using vi:
1. Type 'vi myscript' into the terminal.
2. Press 'i' for insert, and type your file. For example:
echo "This is my script. Woo"
3. Press 'esc' key to exit insert mode.
4. Press shift+ZZ to save the file and exit.
5. Change the access rights on your file so it can be executed. For example:
chmod -x myscript
6. Execute your script by typing:
That should get you started :)