I just started a challenge blog about 4 months ago and so far I think (or at least I hope) it's going pretty well. I'm learning as I'm going along.
You need to decide what sort of challenge blog you want to create, pick a name and see if that blog address is available. Then you'll need to decide what will you feature, when and how often will your challenges be, what your rules are, if you will have any prizes, and you'll need to gather a design team, create a linky list, create challenges, design badges, etc. You'll also need to create group site where you can upload your challenges and projects and such. I use Facebook for my challenge blog some use yahoo and so forth.
There's a lot that goes into creating a challenge blog, but honestly it only took me about 2 weeks to get mine up and running. You also need to decide how much your design team will be involved in creating, posting, and maintaining the challenges. Some DT members have access to the actual challenge blog and take turns posting the challenge and some others do not have that responsibility. In my case, I try to make it as easy for my DT members as possible and I handle all of the posting responsibility, but we take turns creating the challenges and leaving comments for everyone.
Have you ever been on a design team? I'm asking because it would be a big help to you if you have had some experience. If you have any questions feel free to send me a message. I not an expert at this, but I'd be glad to help you with anything I can.
Okay, now after I typed at that I just realized that you were asking about adding a challenge to your blog and not creating a challenge blog. Sorry about that. Well, that's another story. You would need to create a challenge, add a link list so that people can enter their cards and decide if you are having any sort of prizes. You could still have some sort of DT which would help in drawing traffic to your blog.
Hope I was of some help