Before getting started, you may want to find a suitable font for this effect, as not all fonts will necessarily look right when this style is applied. You want a font with rounded edges — no sharp corners.
This effect really works great on top of dark backgrounds, but will also work fine on lighter backgrounds (so long as it’s not too light, as the effect itself makes things brighter). Go ahead and create a new document, and fill in the background with a color of your choice (or #2d3134 if you’d like to borrow our background color).