Writing and debugging Craft plugins
I'm not really sure what this has to do with Craft because it's the same process with every single PHP file... You download xampp/wampp/lampp or whatever you want, install it, open it, activate your apache and MySQL, copy your project into your htdocs folder, create your database at localhost/phpmyadmin and start to create your plugin.

Anyway when you use a good IDE it makes absolutely no difference whether you create it locally or not since a good IDE will upload/download/compare your files on the server automatically. You don't have to upload all your files with programs like Filezilla or something like that