Steps to follow:
Unpack the sources
Optional - Copy config file : You can copy the config file from your old linux kernel source tree to new kernel tree (may save time, if you want to reuse the old settings).
make clean; make mrproper
Give a unique name to your new Kernel - Edit /usr/src/linux/Makefile and change EXTRAVERSION
nohup make bzImage
'make modules' and 'make modules_install'
And you can go to lunch or go to bed (have nice Linux dreams in sleep) and when you come back the system is ready! And see the log with 'less nohup.out'.
make install [num ] But NOT recommended - use cp /usr/src/linux/arch/i386/boot/bzImage /boot/bzImage.myker
Configure GRUB or LILO.
Reboot and check new kernel is booting
Create emergency boot disk - bzdisk or mkbootdisk
Optional - make rpm [num ] To build rpm packages
Optional - make clean (If you want to free up disk space)