Literally, you just cross your legs. You weight can be on your back leg or evenly distributed on both feet. Normally, I point my front leg to avoid the "I need to go to the bathroom NOW!" look
Other variations include:
*Slightly twisting your front foot in a coquettish way so you're standing on the edge of your foot (keep weight on back leg)
*Pointing both feet outward and standing evenly on both feet in a ballet-like pose
The Gothic Lolita in the middle shows a beautiful ballet-style variation of the Cross Step
This pose looks quite elegant. Try it out sometime!