Start setting up your Windows Deployment Server and Windows Deployment Toolkit on a Windows 2003 R2 or Windows 2008. I would prefer Windows 2008 since it has support for multicast. When you can successfully boot via WDS with the LightTouch WIM you are ready for the next step.
Tips : If you are using BroadCom NetExtreme II like me, you have to download a special RIS driver to get the network card up and running.
Take a look at this article at the DeployVista blog. This makes it possible to start the capture process from the OS. Remember to copy the Sysprep folder to the server.
If you choose to make a golden image with Citrix XenApp and all you application, you need to download and install the Citrix XenApp Cloning Tools, I prefer the CitrixTools.net version which has more features than the one made by Citrix.
Simply run the XenApp Cloning Tool, and then \serverdistribution$scriptsLiteTouch.vbs
When the capture is finished, add your Custom image file to Operating System Node and then create a Task Sequence.