How to design CJK font?

As for software, FontLab is probably the most widely used font making software. A license costs $459, however, which may be quite pricey. A free (and open source) alternative could be FontForge.

Like Test Screen Name said, creating your own font is hard work.

 This is a very interesting question, but I don't have a good answer. Designing fonts is highly specialised and skilled, with many things that exist only in the world of fonts, such as hinting. You need specialist software, though typically Illustrator is used to design the outlines with bezier curves. You should immerse yourself in the subject of fonts, and read everything you can find - much of it in real books. For CJK fonts I recommend the 1000 page book "CJKV Information Processing" as a primer - that isn't only about fonts but about the many issues related to working with CJK text and information, but much of the knowledge is a prerequisite for font design. CJK fonts, with tens of thousands of glyphs, are usually designed over a period of years by a team of people.