I typically start with a very rough sketch and then start blocking things in with color, slowly refining as time goes on. Some of you were even with me in a Google+ Hangout as I started this one. It's always interesting (to me) what ideas turn out to be dead ends (several helmet designs) or what I go back and forth on (breastplate color).
As far as reference material goes, I did collect quite a few photos of Roman weaponry that I collected in an Evernote notebook. I'm not sure how many artists use Evernote, but it's a very useful tool.
I had some real problems getting the face just right. In the end I took a picture of myself in the desired pose and used it as a reference. Add a mustache and goatee and the centurion should look somewhat familiar.
I'm never really done with any of my photos or paintings and I already see things here that I want to work on. But for now, this is it.
In the spirit of full disclosure I thought I would throw together an animated GIF of the process. Such as it is.