The most crucial step is construction an INC file for your new nation, with the appropriate tag. Before you make a nation, make sure to check and see if it doesn't already have a tag somewhere in the revolt.txt files. (As many possible nations, including some that would never have existed during/at the end of WWII, like the Confederate States of America, have tags) If it does not, select one of the unoccupied tags (tags u00 -- u 069) and create a revolt entry for it, modeled after the other revolt entries.
Then create the INC file. My suggestion is to copy another INC file, trim the excess stuff you don't need and change around the techapps, National/owned/controlled provinces numbers, capital number, manpower number, and whatever else you need to change.
Then go into worldnames and add in the name for your nation to the tag you selected.
After that--and this is most important--be absolutely sure another nation does not own/control the provinces you want your new nation to control/own. Make sure to edit the approrpriate INC files.
Also, backup all files you modify before you modify them.
Once all of that is done, alter the scenario file for the scenario you want and add in the tag you selected to the selectable group, and place an entry at the bottom for your new nation's INC file. If you eliminated other nations in the process(for example, you create Austria-Hungary and thus eliminate both nations) be sure to remove the tags and INC file notations from the scenario file as well.
Then, test it. Load up the game and the scenario. If any errors appear, correct them. If the game hangs upon loading the scenario, you messed up some numbers somewhere under the controlled/owned provinces of whichever nations INC files you altered.
But if everything works fine, congratulate yourself and move on.