How do you properly create a grind rail?

I've seen lots of new games and tons of Sonic simulators where there are rails that the player can grind on. They have multiple parts that can make up a large winding path that gets the player from one area to the next; these paths can usually range from simple turns to corkscrews in terms of complexity. If there are adjacent rails, the player can transition between them by pressing the "a" and "d" keys. Can someone give a detailed, step-by-step explanation on how to do it? Thanks!!