For this lesson, I will be illustrating this stitch over a normal fabric between two parallel stitch lines. The purpose is to give an idea of its technical aspect. Once this is learnt, it is not difficult to produce the stitch on an even weave fabric.

cross_stitch_1   cross_stitch_2
Fig 1: Bring the needle out through A and take it diagonally across to B. Bring it back again through C, which lies vertically below A.   Fig 2: Now put the needle in through D, which lies vertically above B. You have made a single cross.
A row of crosses can be done in two ways: the traditional style, and the danish style. While the traditional way makes each cross at a time, the danish way follows a process where a row of diagonal stitches are done one way and the crosses are finished on the way back. The traditional way of making crosses is more secure,but the danish style is less confusing and can be done faster.
In modern day embroidery, a mix of both styles is used. The danish style is used to make rows of cross stitch and traditional stitch  to make isolated cross stitch. It is suggested to follow the danish style while making horizontal rows and follow the traditional style while making vertical rows. This is to ensure a neat reverse side. You can, however, use the styles that you personally find easier to follow.
Variation 1: Traditional style
cross_stitch_3     cross_stitch_4
Fig 3: Continue by putting the needle in through Eand bring it out through the previous point D.   Fig 4: Put the needle in through F to complete the second cross. Now, bring the needle out through the previous point E to begin for the third cross. Continue this process.
Fig 5: A row of cross stitch would appear like this. The same technique is followed for a vertical row.
Variation 2: Danish style
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Fig 6: Make a row of diagonal stitches as shown.   Fig 7: On the return journey, complete the crosses by connecting the ends using diagonal stitches as shown. A vertical row can also be done using the same technique.