There's a section on Fatemaster Characters (pg. 312), but there isn't a detailed "this is how they are created" section. Because Malifaux (and Through the Breach) tend to be so individualistic and character-driven, there aren't really any hard-and-fast rules for what abilities to give a FM character (such as "minions get hard to wound, enforcers get hard to kill").
If you want to make custom Fatemaster Characters, I would suggest choosing one of the stat blocks in the book and then adding or removing some skills and abilities, swapping out some weapons for other weapons, or just reskinning a character to look like something else. And, of course, you can always come here to the forums if you want people to look it over.