Thats a very open ended question. We have built a sample OSMF player and a skinning solution you can take a look at. http://code.google.com/p/reops/
There are templates and a PDF that describes the capabilities and process. Also walkthrough style samples.
Otherwise the generic answer is desgn as you see fit, and implement the controls as display objects or part of the MediaContainer which could be done as custom MediaElements, then link them to the MediaPlayer or MediaPlayerSprite and call the approp API methods (play/pause/stop/seek/etc.)