Interesting question indeed. I have written one concept album already (only lyrics so far - the music I'm working on now is too different from the mood of these lyrics).
I must say first of all - forget structure, common sense and extensive planning when you write. Try to work with images instead. Suppose you have this powerful image in your head - it may not necessarily be visual or a picture per se, more like an associative perception of some place, event, person or process or whatever you like. Add a really effective title to set a tone for the album. At this point you'll probably already have at least a vague feeling where the path will lead you. You may also take more than one "establishing" image for contrast, but not too much : the local sets and scenes you can make as detailed as you wish, but the main vision must be cohesive and effective. Remember, this is poetry and music.
It's good to know at least the ending before you begin - or you can let the story surprise you, or you can even make it absurd, if that's your intention. The details will be filled in as you write more songs. Let secondary characters appear at your command, let the story flow, but try not to set it into rigid boundaries. Good songs make emotional impact on the listener because he can partly relate to them, so if a song is from one character's POV, make its message subjective, let reality be filtered through this character's perception.
It's not necessary to tell all the story in the lyrics - leave something for the music to tell, let the music be not just a soundtrack to the poems, but complement the story as much as the texts. Insert some themes and leitmotifs at unexpected places to give the listener something to think about, if the story needs it. When writing music, try to add special symmetry to the key moments, and you can make the most intense parts disjointed and incoherent to increase the effect. Think not in heavy-riff/slow-riff/solo/interlude sequences, but in theme development and variations. Invent or choose some sounds (guitar, keyboard, vocal, whatever) to make it sonically cohesive. Decide whether you want individual songs to tell the story, or a different structure like for example Camel "The Snow Goose" - an excellent example of a concept album.
But try to always reread the parts you already wrote, to keep sight of the "big picture".
Hmmm... sorry if this was too long or disjointed, it's 1 AM here
Good luck with writing !
D Mullholand, a dead composer
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NP: The Doors - Waiting for the Sun