Building a model of your idea. An early model can be very simple to test underlying principles; when it comes to the later stage of the design process, a more accurate model is required to refine details of form and function.
Physical prototypes help iron out any unanticipated problems with your creative ideas. Prototypes give you insight into how your design will be used, before you create a finished version.
Physical prototypes are also particularly effective in communicating design ideas to diverse groups of stakeholders.
First decide which aspect of the user experience you want to test, and build an appropriate model to test it. This will vary according to the stage of development your project is at.
At an early stage a 'quick and dirty' prototype that people are not afraid to criticise is best for testing principles.
At a later stage a you may want to create 'works-like' prototypes to detail aspects of build and functionality and a (possibly separate) 'looks like' prototype to test response to form.
For example, you might first test the principles of a new office workstation by building it in foamboard using hot glue. In later stages you may test a detail of a mechanism by building a 'works-like' mechanical prototype.
Build your prototypes using available material and test them with end users, or role play how you might use the designs yourself. Use what you learn to improve the prototype designs further.