Create a mesh.
In object mode, add an armature to the scene (shift-A)
Create the full skeleton.
Set the skeleton as the parent of the mesh: select the skeleton, shift-select the mesh, ctrl-p
Given a skinned mesh and armature:
Editing animation set:
Select frame to edit in the timeline window.
Orient bone(s) to desired position.
Select bone(s) modified in this frame.
Press I and save (normally) Rot --> for the first frame select all bones (press A). Press I and save LocRotScale.
To copy and paste frame data:
Select frame to copy.
With mouse over 3D view, press Ctrl-C.
Select frame to paste data into.
With mouse over 3D view, press Ctrl-V.
Press I and select LocRotScale to overwrite the frame data.
To create multiple animationsets in one file:
Create an animation set.
In another window, select DopeSheet.
In the dropdown menu (bottom of window) that probably says "Dope Sheet," select "Action Editor"
Select the action. Rename it if desired. Press F in the dropdown list of actions to create a fake user.
Create another action set by clicking "+" in the action selection dropdown.
The animation editor should show a "clean" timeline.
Edit that new animation set.
In the DopeSheet Action Editor, press F to create a fake user for that action.
Links to the Blender DirectX addon:
Exporting to DirectX X file:
In object mode, select the armature and the mesh.
Selected Objects Only
Include Frame Rate
Export Actions as AnimationSets
Attach Unused Actions to First <-------- required. Probably an error in the directx export script
Note: There will be a "default action" or similar in the DirectX export file, probably at the end of the file. That can be deleted using an ASCII editor.
N.B., please see Ashaman73's comments below for alternate (and possibly better) ways to do things in Blender.