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This is stupid, but how do I create a sampling distribution?

Uhh, don't you just create a normal curve with the mean of the sample (x-bar) and the standard deviation of the sample (std dev of population divided by the square root of the number of samples)?
 
To make a sampling distribution, you repeatedly take samples of size n from your population and for each sample, calculate whatever statistic you want to find the distribution for. Look at all of the values for the statistic that you calculated for your samples and you have your sampling distribution.

For example, you have a population consisting of the weights of 5000 people. You want to create a sampling distribution of the mean weight of your population. Repeatedly take samples of size 50 and for each sample, find the mean. When you look at all of the means that you have calculated, you have a sampling distribution for the mean weight of your population.

-Tom

EDIT: I just arbitrarily chose 50 as my sample size in the example above. Though you should try to make sure that your population size is at least 100x larger than your sample size.
 
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