Backgrounds are very interesting to work on and I'm learning a lot. My way of doing at the time is to draw quick sketches to try different things: place my hotspots at some other places, change the perspective, add/remove some depth, etc.
Then, when I'm happy with a sketch, it's time to draw for real. I'm using the same process that I use to draw and animate characters. First part, another sketch but in the right size and I add some decorations. To be sure the perspective is OK, I test the background in the game at this time. If I valid it, I go to the inking step. Well, it's “just” drawing the lines on another layer to have a clean version of my sketch. And finally coloring, nuancing, animating (if needed). Long process, but kinda fun. Everything is becoming alive at this point and it's awesome!
Here are the different steps in the creation of one of the backgrounds. Enjoy! :)