We recently added docs about bloom filters and merkleblocks to the Bitcoin.org developer documentation.  You probably want to read this first:

https://bitcoin.org/en/developer-reference#filterload

And then look at the Python example here:

https://bitcoin.org/en/developer-examples#creating-a-bloom-filter

I also agree with Mike: I found reading the BitcoinJ sources very useful when writing the above linked documentation (and, of course, I depended on BIP37 for design details).