The first thing you need to do is create some 3D models to use and export them in Wavefront (.obj) format. 

Two suitable free software packages you could use are:

  • Art of Illusion

  • 3D Blender

Or you could use any other 3D package that can export in .obj format. (eg Google SketchUp Pro, 3D Studio Max, Maya)

 
If you want your models to have colour/textures, you must also export the MTL information with it.  Some software packages, such as Anim8or, will export .obj but are unable to export the MTL information so your models will just appear grey.

Art of Illusion

3D Blender
If you want to make models using Art of Illusion, a good place to start is the HITLab tutorial at http://www.hitlabnz.org/BuildAR/introduction_aoi.pdf 

and then http://www.hitlabnz.org/wiki/Creating_Models_in_Art_of_Illusion

More advanced tutorials and documentation are at http://www.artofillusion.org/documentation

When you have made your model, choose File > Export > Wavefront.  Then make sure that you have write textures to mtl ticked.

 

 If you want to use 3D Blender, then try some of these tutorials:

For absolute beginners:

You should also work closely with the Wikibook Noob to Pro: http://en.wikibooks.org/wiki/Blender_3D:_Noob_to_Pro

When you have made your model, choose File > Export > Wavefront .obj

Ensure that Materials is clicked in the export options.

 

Now you have your .obj file, it's time to add it to your project.