You are right, creating a blog is just the first step. Here are some methods for building backlinks to your blog.
1. Article marketing is one of the methods to promote your blog. First you write an article that relates to the niche of your site and then you send that article to some article directories. After Google Panda updates, article directories have lost their bower a little bit but this method will still work. You can also look into some other web properties to submit your articles like Squidoo and HubPages.
2. Blogging is another great way to build links. You should create some other smaller blogs for the purpose of linking back to your main blog. You can use free blog sites such as Wordpress, Weebly, Blogger and Tumblr to build blogs and every time that you add a new post to these blogs you can include a link back to your main site.
3.Commenting on other blogs is also an effective way for building backlinks. With blog commenting you visit other blogs, preferably in the same niche as your blog, and leave comments. Many blogs will let you to include a link with your comment so take advantage of this and add a link to your blog. When doing blog commenting you should always contribute to the blog conversation and leave good quality comments, otherwise your comments may not be approved and you won't receive that backlink.
4. Another great method for building backlinks is social bookmarking. Some great social bookmarking sites are Misterwong, Digg, Reddit, StumbleUpon.
5. Guest blogging, that is a good method for promoting to your blog. Start by searching the internet for blogs that relate to your niche. When you have found some good blogs then contact the owners and make them an offer to write a guest article post for their blog in exchange for including a link back to your own blog. Many blog owners will be happy for your guest post as it is giving them more content for their blog.
It takes some effort to build backlinks to your blog, but the time and effort that you put in will pay off long term when you start ranking well in the search engines and start seeing more visitors to your blog.