This is a good question. Here are some suggestions.
First, you might want to read some parables, so that you can get a sense of what they are like. This will give you ideas. A good place to start is in the gospels in the New Testament.
Second, you need to know what parables are. A parable is in many ways an allegory. This simply means that the elements of your parable or story correspond to a deeper meaning. So, for example, in the parable of the seeds of Jesus, the seeds represent preaching.
Third, when you have these elements in place, use your imagination and experiment. Also keep in mind that you may want to come in at the end of your parable and explain the parable to your reader. This is optional.