1. Create a new custom module. In this example, the module name is eureka_drush.

2. Create the eureka_drush.info.
eureka_drush.info

name = Eureka Drush
description = Custom drush command example.
core = 7.x
package = Eureka

3. Create the eureka_drush.module. Even if you do not have any implementation, leave it with just the PHP open tag.
eureka_drush.module

<?php

4. Create the eureka_drush.drush.inc.
eureka_drush.drush.inc

<?php

/**
 * Implementation of hook_drush_command().
 */
function eureka_drush_drush_command() {
  $items = array();
  
  $items['say-hello-world'] = array(
    'description' => 'Say Hello world',
    'drupal dependencies' => array('eureka_drush'),
  );
  
  return $items;
}

/**
 * Callback function for say-hello-world.
 * The function name is drush_<module_name>_<command_in_underscore>
 */
function drush_eureka_drush_say_hello_world() {
  $msg = 'Hello World';
  drush_print("\n" . $msg . "\n");
}

5. Enable the module and clear the Drupal cache.

drush en eureka_drush
drush cc all

6. Run drush help and check if your command is available.

drush help | grep say-hello-world

7. Try it out!

drush say-hello-world

Done =)

References:

• Drush Documentation
• Drupal: How to Create Your Own Drush Command
• CREATING DRUSH-COMMANDS
• Drush example – sandwich.drush.inc
• Drupal Contrib – xmlsitemap_drush_command
• Drush FAQ