Before starting in AutoCAD I had made a model in SketchUp and brought the flat 2D render of it over. Then I start by picking out the vanishing points (circles) and then do it all by drawing reference lines until I am done. You can find all my impossible art at my site: http://andreasaronsson.com/impossible-figures/gallery/
In addition, this is not a guide, it is just something to give an idea of the process behind it all. Every step in the video is one file iteration. I always save a version whenever the amount of reference lines get too confusing, then I delete them and start over with new lines, which is why I have all these steps saved :)