It's been a few years now since I've actually brought any serious piece of writing at all to conclusion, so my approach is probably not the best.
The first thing I do is spend a lot of time thinking. Whenever I'm in the kind of activity that allows me to let a part of the brain wander off, I do just that. Days, weeks, sometimes months go like this, when all I do is run through ideas, settings, characters and keep fiddling with them in my head until I end up with something that I like. That's the point where most of the stuff stops, because if I realize that I don't really, really like it, I just abandon it. The next phase is research. Unless it's something built completely in a vacuum, I spend some time reading about that particular topic. If it's the case of historical facts, I try to relieve myself of my own ignorance on that matter. If I'd need to write about a character swimming, I'd take a crash course in swimming techniques. Sometimes I simply try to understand if the physics that I'm describing makes sense. I hate being inaccurate or downright wrong with the stuff that I write.
Once the points above are complete, I power through the writing in what is probably an unhealthy way, in the sense that I spend some days when I forget to eat/drink/sleep and just write until exhaustion. Ideally, my batteries should last until that piece is finished. If it's not the case, I take a break during which I revisit the points above and just go through the text again and again, polishing bits and the likes. Usually, whenever I look back over something I am appalled by the pile of complete garbage all that effort has produced and just work it through all over again. And again. And again. Until I'm happy. This can take a very long time.
Roleplaying can be as hard as that or a lot easier. Sometimes, someone just wants a little of bit of innocent smut made on the fly, other times it's all about the ordeal posted above at its finest. The nice in-between is when one of us has everything worked out and just needs the other person to bring their own charm to the backbone and make something of it. I'm probably holding the world record for the streak of plays that never saw conclusion because of loss of interest/real life problems of my partners. This has made me a bit weary of ambitious cooperative projects because I do truly hate leaving things unfinished, particularly if they are shaping up nicely.
In conclusion, I'm all about tears of blood that avail to nothing.