Well in creating process, nothing is changed. I mean you should to be able create any stuff like you do (if you do) for Mugen and then you can try how it works in ShugenDo. Thanks to logs (they pop out in main directory of ShugenDo everytime you run it) you may find bugs that Mugen skips and eliminate them so char won't be acting strange in it. Any other bugs you find, are proably caused by engine so you need report them in Bug Testing section so Sakir can fix them.
As for not showing chars, they are showing actually. You just don't see portraits. To see them go to tools folder and run AllExtract tool which extract them from char, so ShugenDo read them (screenpack thing is different than in Mugen that's why novices see this as problem).
I strongly advise to check out FAQ and read me + any other documentation. All this things are there. If you would read them before, you wouldn't have to worried anout missing portraits or quetions. So before asking about other things check if it wasn't answered already, on site, docs or Sakir's Forum. Just friendly advice.
"If our lives are indeed the sum total of the choices we've made, then we cannot change who we are. But with every new choice we're given, we can change who we're going to be." The Outer Limits S04E04
"If knowledge is power and power corrupts... how will human kind ever survive?" The Outer Limits S04E16