Watch a 2 minute video on how to do this:
https://youtu.be/rrwhKO3xzaw?list=PL6FlufHVwn2jO2lr9KJdYLWrq5ZZMJ2Pt

Read on for the traditional walkthrough...

1. Setting up the folder structures.
You can do this a number of ways, but the easiest is to open any functioning SGA in Corsix’s mod studio. You can download them from the Workshop or other COH map sites like game banana.

Choose "Load Single SGA Archive" and choose a map. (I chose Compound in this example)
When the SGA is opened, it will look like the image on the far right side:


2. Setting up your map files in the correct folders.
Make the following folder structure anywhere on your computer.

...\Data\Scenarios\MP (then all your files in the MP folder)

I've seen guides that say you have to save it to the following folder:
C:\Users\Username\Documents\My Games\Company of Heroes\ww2\Data\scenarios\mp

Which will work, but I've noticed a lot of people get confused as the "my games" folder structure is pretty much the same as the location of the actual game files:
C:\Program Files (x86)\Steam\steamapps\common\Company of Heroes Relaunch\WW2\Data\Scenarios\MP

In short, it doesn't matter where the folders are, you just need to have:
Data\Scenarios\MP

Below I have a screen shot of the folder structure required:


If you want to do it in your C:\Users\User\Documents\My Games\Company of Heroes\ww2\Data\scenarios\mp that works too.

3. Once all your files are in the correct folders (including the loading image, which is just a .tga file with the file name of your scenario if you want a custom loading screen), go to the tools in Corsix's Mod Studio and choose the "SGA Packer"


.

4. Select the "Data" folder you made just before, but don't click through the rest of the folders. Just choose "Data", as seen below. Many a weary eyed map builder has made this mistake...


Select an output location, give the SGA a name and press "Create"

5. Copy the SGA file to:
C:\Users\User\Documents\My Games\Company of Heroes Relaunch\ww2\scenarios

6. Play it and/or upload to the workshop!