The fourth step of the Design Thinking process is the prototyping phase. The prototyping phase is all about getting answers to remaining questions as quickly and as cheaply as pssible. A prototype can be anything the the user can interact with, a rough model of a solution, a storyboard, or even a role playing scenario. The key here is getting the user to actualy interact with and experience on of your proposed solutions, the more interaction the better.
Ther is one major key to the prototyping phase and it is the hardest one to follow. START BUILDING. It doesnt matter if you know forsure what you are making or not just start building. Working with a physical object is a great way to further generate ideas as well as adjust and evolve current ideas. However, there should be a question you are looking to answer with your prototype. Say for instance we came up with an idea for the shopping cart that puts kids in the front of the cart rather than the back. The question you would be looking to answer is simply, is putting kids in the front of the cart easier or better than putting them in the back. Once you build a rough prototype, say, out of cardboard and using a doll as the baby, get some users in there move on to the next step, testing.