Worldbuilding is a complex process. It is possible to create a world by writing it as you go, but you have a better chance, if you do some preliminary planning first. It isn't
necessary to develop every detail, but you should know where you're going to start and know which elements to include or exclude from your constructed world.
Names are to be considered for every element in your "world".
Consider the possible elements of location: 1. Cosmology (The relationship of planets and stars), 2. Geography (map of the city, nation, or world). Choosing the scope of your world is important as it can determine if you are overdoing it, or leaving out essential details.
Consider the elements of culture: 1. Language, Mythology 3. History, 4. Politics, 5. Art & Music, and 6. Daily life. But, be careful that you don't get lost in the details.
Also, consider the rules of science or magic in your world. What are the possibilities and the limitations.
Above all have fun with it.