Basically there are two main approaches to writing a lexer:
- Creating a hand-written one in which case I recommend this small tutorial.
- Using some lexer generator tools such as lex. In this case, I recommend reading the tutorials to the particular tool of choice.
Also I would like to recommend the Kaleidoscope tutorial from the LLVM documentation. It runs through the implementation of a simple language and in particular demonstrates how to write a small lexer. There is a C++ and an Objective Caml version of the tutorial.
The classical textbook on the subject is Compilers: Principles, Techniques, and Tools also known as the Dragon Book. However this probably falls under the category of “fairly advanced write ups”.