A tutorial or specific directions would be great.
No, you cannot :)! (just kidding).
There is remastersys. It is highly documented, so I won't bother to re-document it here ^^! Here is a link: http://www.ubuntugeek.com/creating-custom-ubuntu-live-cd-with-remastersys.html
Keep in mind this only keeps the software you have installed plus a few other bits and pieces. To get your home folder etc copied, you will need to manual transfer that data yourself, the instructions for which would be better off in another question/answer couple.
Most of your settings will not be transfered automatically, except for what it stored in the system wide configuration. This is a limitation of the scripts used to create the live environment.
To counter this, you can copy your themes and icons to
A more extensive option (sorry I could not find one of the the links I was looking for) is to create/customize a live cd (as according to this guide).
After installing this system, you could "make it like your existing system" using a few commands.
The steps to this are described in detail here.
No matter what method you choose, always consider carefully, before attempting such an operation, and wherever possible, try to backup your critical data.