Programmatically creating Texture

How can this be done. Do you get a texture via D3DXCreateTexture(..) and then LockRect() or something on it. If so, is it just a matter of declaring say a large BYTE array and filling it with the appropriate data depending on the texture format. Say RRGGBBAA then I have 4 BYTEs per pixel. Do I have to included any other data for the texture to be valid, like header information for that particular format etc.. Or is the best bet to construct a structure matching a particular file format and construct the image in memory, complete with header information etc.. and then use D3DXCreateTextureFromFileInMemory(..) ?? has anybody done any thing like this??