Read up to learn the genre, particularly recent stuff that indicates what the market is looking for now. Read any erotic romance you can get your hand on, from the very mild to the spicier, to see what works and what doesn't as well as learn the conventions of erotic romance. See the Resources section for ideas.
Brush up on your basic grammar and spelling skills as well as the basic principles of writing fiction. The better a writer you are, the better your erotic romance stories and the more your readers will enjoy them.
Create your main characters. Characterization is important in erotic romances, as these are character-driven stories. Give your characters a full history and describe them in your own personal character profiles down to the hangnail on their toes. Learn who your characters are.
Create a basic plot that has an exciting romantic conflict. Try to be as original as possible - erotic romance readers can be jaded and very picky about their romantic conflicts, particularly ones they've seen over and over.
Outline your story from the hook to the climax. You can do a loose outline that just takes up a few lines or a detailed outline that's pages long. Remember, though, to leave some of the creative work for the writing process.
Write the erotic story as you would a romance, but take special care writing the sex scenes. Make them explicit and even possibly graphic, but never tasteless. Never give a straight, matter-of-fact play-by-play of sex or foreplay; it's boring. Instead, show the emotion and passion behind what's happening.
Include at least five very erotic scenes in an erotic romance story that's novel length. It's your job as writer to make the scenes believable and inevitable. Build up to them.
Put the finished novel away for at least a week. When you come back to it, read it through and mark down revisions. Or get critiques from other writers of erotic romance.