The easiest way to set up your sump will be to have plexiglass (from Home Depot or Lowe's) cut to form three sections in the sump.
Section 1: This is where the water enters the sump. This will also hold your equipment, like skimmer, phosphate reactors and heater.
Section 2: This is your refugium. You can have sand, macroalgae and live rock in this section.
Section 3: This is where you put your return pump to send the water back to the tank. This is the only section that the water will rise and fall in; all other sections and the display tank will keep a constant water level. So when water evaporates, the water will only drop in the return section.
You can plumb using PVC or flexible vinyl hose. The vinyl hose is easier to work with IMO, but is much more expensive. My tank is plumbed with PVC. You need to measure and cut pieces of PVC to run from each overflow down to Section 1 of the sump. You also need to measure and cut PVC to attach to the return pump and go back up to your tank. These lines will either go over the top of your tank to put water back into it, or if your tank is drilled for it, up through the bottom. You can use plain old PVC primer and glue to put the plumbing together.
A ball valve is a way to turn down the flow from your return pump. Be sure to only buy ball valves with all plastic pieces. You do not want any metal in the system. Here's a pic of a typical PVC ball valve.
http://www.bennys.bz/images/uploads/Pvc-Ball-Valve.gif
You want to add a ball valve after your return pump, so you can control how much water gets returned to the main tank. Water can only travel down your overflows as fast as the return pump can push it back into the tank. But if your return pump is too strong, you can overflow the display tank, so you'll want a ball valve to turn it down if necessary.
You will also need to drill siphon holes in your return lines to prevent flooding if the power goes out. So, wherever the plumbing puts water back into the tank, if any part of that plumbing extends underwater (which it usually does), you'll want to drill a hole in each PVC line below where the water line will be in the tank. This way, the water can only be sucked in a reverse siphon as far as the hole. Once the water level drops below the hole, it will start to suck air and will break the siphon.
Hope this helped a bit. Ask more questions if you have them, and I'll try to give more specific answers.