This tutorial will assume that you want to create an agent named <myNewAgent>.  In reality, you probably want a different name, so just substitute your name wherever you see <myNewAgent>.

Create the files 

Create a new agent by copying the existing random Python agent:

$>cd agents

#Now, make a copy of this agent
$>cp -R randomAgentPython <myNewAgent>

Change the appropriate file names

Edit the source file

Edit the Makefile

Go back up to the main directory for your new agent:
$>cd ../../

Edit the run.bash script with your favorite editor:
$>emacs run.bash

The only line is:
PYTHONPATH=../../system/RL-Glue/RL-Glue/Python:./src python -c "import rlglue.agent.AgentLoader" RandomAgent

Change this to:
PYTHONPATH=../../system/RL-Glue/RL-Glue/Python:./src python -c "import rlglue.agent.AgentLoader" <myNewAgent>

Save the file.

Note: If you wanted to move your agent folder to a new location, even outside of the rl-competition distribution, all you need to do is update one line of the run.bash script.  Find the section:
PYTHONPATH=../../system/RL-Glue/RL-Glue/Python:./src python

Change this to:
PYTHONPATH=<path_to_rl-competition_directory>/system/RL-Glue/RL-Glue/Python:./src python

Save this file.

Try it out

In one terminal window, go run the graphical Java trainer:
$>cd trainers/guiTrainerJava
$>bash run.bash

In another terminal window, run your new agent:
$>cd agents/<myNewAgent>
$>bash run.bash

With any luck at all, you should be able to load and start an experiment and your agent will be running!  Congratulations!