Recently I was looking to compile my own kernel that has a few custom patches. Here is how I did it.

Determine your kernel version by running:

Install the following if they are not already:
sudo apt-get install bzip2 kernel-package linux-source-3.2 fakeroot build-essential ncurses-dev

Copy and unpackage the Kernel source:

Now setup the config - Note that I wanted to use the vanilla config, but if you want your own config use the command: make menuconfig:

Then, cleanup files if you need to and start the build:

Now finally install your packages and reboot:

Don't forget to select your new kernel.

Cleanup any kernel images your not using (I warn you here!)
sudo apt-get remove $(dpkg -l|egrep '^ii  linux-(im|he)'|awk '{print $2}'|grep -v `uname -r`)

References:

http://linuxg.net/compile-kernel-3-9-on-debian-wheezy/
http://www.debian.org/releases/stable/i386/ch08s06.html.en
http://www.tux.org/~tbr/debiankernelpkg/