For a succinct discussion on the topic of "creating a series" complete with great advice, I absolutely must direct you to read Michael A. Black's post of yesterday.
The best I can do is to add a "cautionary tale" from personal experience...
When I wrote the first book in my Silver Rush series, Silver Lies, I threw my whole heart and soul into it, along with everything I loved and found interesting and intriguing, from winter in the Rocky Mountains to Milton's Paradise Lost to the crazy "get rich quick" mania that seems to grab humanity by the throat every so often (actually, too often... seems like we never learn).
After it was complete, I then threw all my attention and energy into negotiating the rocky road of finding a publisher for the book. It took quite a while (some years, actually). During that time, writers wiser than I about the ways of the publishing world, told me I should be busy working on the next book... But, I couldn't focus on what might follow, without knowing the fate of this, my firstborn. After all, suppose it went nowhere? This was the late 1990s, which was pre-epublishing and indie publishing and all that. If I couldn't interest a publisher in Silver Lies, I would have to turn my attention to something else, or maybe just do a "pass" on the whole write-a-book-get-published idea. However, I did find a publisher... when Poisoned Pen Press said they wanted Silver Lies, I was ecstatic and did a happy dance around the room. Then came the question, "This is part of a series, yes?"
And I replied: "Of course!"
There I was.
Author of a soon-to-be series.
With only a vague idea for a second book and a looooong way to go...
Oh, how many times since then I wish I'd heeded the advice of my published friends. I've watched others who were smarter than me write the first in a series, and then immediately dive into writing a second and sometimes even a third while they shopped the first around. Now that is smart!
So, my cautionary bit of advice when you set about writing a series is this:
When you write the first, take a few minutes to do the happy dance when you've typed THE END, and then do the happy dance again after you've polished your masterpiece. And then...
Sit down and write the next.