Hello,
OK the answer which you will not like first. So just a few words.....
It is not possible writing down eg 10 steps for setting up CO. This is nonsense!
First of all THINK what you need now and what can be the needs in the future?
In this phase you just work on your desk with Word, Excel. MS Project and other divisions/colleagues
I would propose take a look on SAP training document AC040,
this paper shall give you some overview of CO.
After going through this paper, think about your business concept.
write it down
duscussion with SAP consulting company (requirements now and in the future) and colleagues
Adaption of the concept?
make a first "final" version of the concept
set up a blue print in SAP
review the results, discussion
another "final" version.... 
improvements....
some work which might last for a rather long time....
SAP CO offers a wide range of functionality (ABC costing, cost center accounting, profit center accounting, Co-Pa,.....)
How you implement CO has an impact on other moduls and master data.
Example: cost center structure - profit center structure - segment structure....
Just to get an impression of the scale of an SAP CO configuration "cheating paper"
about 100 pages
