To make any effect, is the same way you make any sound. You first have to come up with the concept of what you're trying to do (the sound that the effect is based on) and then actually apply and effect unit to the sound. Couple that with some automation (or self modulation) [how the effect/sound exist and evolve over time] gives you an effect.
I also suggest having these effects as a separate channel in your mix because it gives you a little more control over how much of a presence (or volume change) you want it to have as it continues into the next section.
I suggest start making stuff as creatively as possible. It doesn't have to make to much sense because it's a transition or a "fill".
There's also musical transition on top of the sound transition.
I like to use delays, reverbs, chorus, flangers, phasers, filters, synth automation, drum fills to pick up into the next parts of the song.
Hope this helps.