1. The channel should be descriptive so you can easily identify it later on. If you are creating a channel for a Salesforce object, name the channel after the object. Or, if you are naming the channel that will exist for the entire web app, name the channel after the web app so that it's clear where content stored in this channel will appear.
2. Include the URL you want resources to appear on (use regular expressions).
3. Create Channel.

If I want resources to appear in a financial management application (in this example, Xero), then I will use the URL for the web page I want the resources to appear in.

If I want the same help resources to appear in multiple areas of the same web application, then I can select parts of the URL and add regular expressions so that the help resources will appear in more than one place.

In the example above, i could include xero.com.* and the contextual help would show up in all of the screens I navigate to on xero.com.

This can be helpful if you want a standard set of help resources to appear for several web pages that are related to the same kind of actions. For Xero, I will want a standard set of help resources appearing whenever somebody is in the Accounts tab. So I could include xero.com/accounts.* and the contextual help would show up anywhere the URL begins with xero.com/accounts, regardless of what comes after accounts.