I mostly wait until the day when a context comes up for the character I want to play then try to put them in.
Which is why Nihilon Terminus hasn't been played yet; no context has come up where his specific character concept makes sense. Its heavily dependent upon that context being an Anima Beyond Fantasy game, or at least a very anime-esque fantasy world with dark martial arts, two bloodlines and souls of vampires that reincarnate inside normal humans, all combining into one incredibly cursed character.