First, get a camera that doesn't have automatic focus...
Not really, automatic focus will probably help more then hinder,
but it can get really annoying if you are trying to get a shot with 2 Klickies in it
and it keeps focusing on the tree behind them.
Next you want a smooth, hard surface (like you would usually use for setting up Playmobil),
It is best if it is all one color and usually a darker color.
Wood surfaces are ok, but the grains of the wood can be a little distracting.
Next the background for your scenes...
I like to use a big, all blue board. I don't put anything like clouds on it though.
Clouds add realism, but they distract from your scenes. (At least so far as I have found.)
Your background you want to be a light color. If you use blue, baby blue would work well.
Just remember that the photo will be small compared to the scene,
and darker colors backgrounds will make the shot seem very cramped.
For lighting, instead of pointing a light directly at your scene,
Try and get a big white surface in front of your setup
and bounce the light off the white surface and onto the scene.
It will create less of a "flash" effect.
After you are ready with your setup then have fun.
Stop-motion is very simple. Take as many photos as you want, and move the people as little as possible in each.
You can go through the photos later and get rid of a few so the characters go faster or slower.
You can also try filming with a video recorder.
I haven't used this technique before, but I can give you some advice from having seen it done.
First of all, never show their feet!
If we see what they are standing on then the movie wont have the same feeling of realism.
You will still have to use stop-motion to move their arms and heads, so when you do,
make sure you take tons of photos so we don't notice the change in pace.
Setup a scene and try to stick with that scene throughout the film.
The fewer time you have to change the scene, the better.
Also remember that by switching the angle of the camera
you can make it seem like we are in a totally different location than before.
For one of my films I simply switched to the back of my castle where I had another small setup.
One more thing, keep the camera at ground level.
Overhead shots are cool, but not throughout the movie.
We want to be down where the klickies are so we can see them better.
You already make incredible photos, so I doubt much of this is news to you...
But I hope it was helpful all the same.
And good luck!