Start with making a new document with a transparent background. I went with 500 by 500 pixels.
Create your design. I just quickly made one for this tutorial. Took me less than 30 seconds.
Next is to make the letters white and crop the watermark. Then save it as a .Png file
Voila! Now your newly created watermark is ready to be used!
Open the picture you want to use. Move the watermark with the move tool (V) to the new image (hit the white when you move it).
You can now find your watermark in the picture. You can move it around and make it bigger or smaller using the Free Transform tool (T)
When you'd like the watermark to be more visible, you can for example give it a black background by making a new empty layer and moving it under the watermark layer. Then make a selection around the watermark with the Rectangular Marquee Tool (M) and fill it with black (or any color you like). Easy right?