Measure the site where the wall is to go and mark with paint or stakes and string.
Dig a trench for the foundation of the wall. Make sure that the bottom of the trench is level, and not parallel with the slope. This trench should be excavated to be at least 1-foot wider on all sides, and the front and back of the wall. Dig the trench's depth deep enough to allow for 5 to 6 inches of compacted base material and for the depth of up to two courses of wall material to be fully buried.
Fill trench with course gravel. Tamp and level. It is better to do so in stages to reduce settling instead of adding all of the base material and just tamping the top.
Lay the first course of wall onto the compacted base. Make sure it is completely level. Lay the second course in the same fashion.
Install drain pipe behind the wall. The pipe should be long enough to run the full length of the wall and beyond to carry excess water away from the wall.
Backfill the pipe with round or washed gravel.
Continue laying each successive course of the wall. Level as you go. Backfill with gravel as you go. The top course, called the coping course, can be of a different material, or the same. It can be glued with a construction adhesive if desired.
Tamp the gravel down when at the top of the wall. This can be left as gravel or other material, such as soil or mulch, can be placed over the top.