1 - Quick thumbnail, with tonal values. If the composition isn't working, scrap it and move on. It doesn't have to be detailed at all (a trap not easily avoided). I've only really started using thumbnails recently, and now I can't stress the importance of them enough! They will make your artwork look good before it's even done. Does it lead the eye around? Is the focus clear?
2 - I always begin with a background, just to get the mood, colors, and basic palette down. Keeping it rough at this stage is fine, since most of it will be covered up anyway. I played with reds and oranges in this piece, and tried to steer away from a boring gradient look.
3 - Quickly getting some shapes in there with the lasso tool, working from the background layers forward. Contrast and detail grows as we come closer. Again, not much detail yet, and very open to change at this point.
4 - The sky was too boring for my taste. So on a new layer I made a quick blob of orange-yellow light, placed a gaussian blur over it, and set that to overlay, adjusting the opacity to look good. Also added the foreground elements (all on new layers, so about 7 layers at this stage). You'll notice a kind of path down the centre, which I carried on into the next stage.
5 - The towers were too light, and the rock formation near the base of the castle didn't fit at all, so that all changed. Adding smoke or fog is always a nice way to get more atmosphere into your artwork, but I like to do it sparingly! A few details with the ground, a bit of extra shading here and there, and it's a finished concept piece.