Read this. It is a relatively accurate reference for all your WML needs, and you will probably need to reference to it often throughout this tutorial. It can also be located be clicking the 'create', in the link banner at the top of the page. For examples, it is often best to look at a mainline campaign. Oh, btw, this is a tutorial for version 1.4.x.
The first step to creating a campaign is having a good idea of what you want to happen. Then, it is time to create the world. To do this, start the map editor ('editor.exe' on windows). I advise that you play around with the map editor, get a feel for it's capabilities if you have not already. Now, build the map for the first campaign (out of 4 or so) to take place on. Put in 4 player starts, by using the flag tool. In this scenario, player 1 will be you, player 2 will be your ally, players 3 and 4 will be against you. Remember, save your map often. For now, you can save in the default folder, Wesnoth\userdata\editor\maps.
Create a new RTF text file in the folder Wesnoth\userdata\data\campaigns called 'devlings.cfg'. It MUST be an RTF file with the proper extension, or Wesnoth will not recognize it. Create a new folder called 'devlings'.
Some Important Links:
esr's design and plot tutorial: http://catb.org/~esr/wesnoth/campaign-design-howto.html
Another tutorial: http://www.wesnoth.org/wiki/BuildingCampaigns
General WML reference: http://www.wesnoth.org/wiki/Create