Social media platforms have emerged as valuable sources for mental health research, enabling the detection of conditions such as depression through analyses of user-generated posts. This manuscript offers practical, step-by-step guidance for applying machine learning and deep learning methods to mental health detection on social media. Key topics include strategies for handling heterogeneous and imbalanced datasets, advanced text preprocessing, robust model evaluation, and the use of appropriate metrics beyond accuracy. Real-world examples illustrate each stage of the process, and an emphasis is placed on transparency, reproducibility, and ethical best practices. While the present work focuses on text-based analysis, we discuss the limitations of this approach—including label inconsistency and a lack of clinical validation—and highlight the need for future research to integrate multimodal signals and gold-standard psychometric assessments. By sharing these frameworks and lessons, this manuscript aims to support the development of more reliable, generalizable, and ethically responsible models for mental health detection and early intervention.