Once you have the blue-print ready, artifacts required to build the anatomy of the data warehouse needs to be built, and two of the major ones are:
1) ETL routines to shape your data compliant to Data Mart design.
2) Relational Data warehouse / Data Mart i.e. dimension and fact tables and other database objects that would hold your data transformed by ETL.
The process sounds quite crystal clear, but when you are developing from scratch, and when your data warehouse and dimensional modeling is in the phase of evolution, there is one tool which can be very instrumental in designing the same. The wonderful part is that this tool / template comes for free from the courtesy of kimball group, and it's called Dimensional Modeling Spreadsheet.
Dimensional Modeling Spreadsheet: This template spreadsheet can help you to create your entire data dictionary / data map for your dimensional model, and it contains samples for some of the basic dimensions used in almost any dimensional model. The unique thing about this spreadsheet is that once you have keyed in your design, it has the option to create SQL out of your model. You can use this SQL Script in your database and create the dimension and fact tables right out of it, which means that your data mart / relational data warehouse is ready to store the data. Also this spreadsheet can form the base for your ETL routines. The only other tool in my knowledge which can serve near to this functionality is Wherescape RED, and of course it's not free, as it serves a lot more than just this.
You can read more about this spreadsheet in the book "The Microsoft Data Warehouse Toolkit: With SQL Server 2005 and the Microsoft Business Intelligence Toolset". For those who are fresh to dimensional modeling concepts, read this article to gain a basic idea of the life-cycle.