Hello, I am interested in finally putting things down on paper, but I have never world built before, and find it slightly overwhelming, as is my entire project.
Some of my Original countries and nations" come out of mythology, or pseudo science. They tend to be islands, or maybe underground. But a state inside Europe is harder to place. I assume they might be small, like Luxemberg size.

I also assume this is a slow process. But any help with links or advice would be appreciated.

Start small. Build what you need to tell your stories. Make notes of anything you mention in passing so that you can develop the ideas and add to your world later.