4 wire sensing is a high accuracy way to measure currents, or resistances, depeding on your application,
The goal is to have your measuring points for the voltage across the resistor to be taken at a point where you know your resistance value is exactly as you specify, and ideally where outside influences cannot greatly change the voltage your measuring
4 lead kelvin smd resistors are designed so there is dedicated measuring points on the body of the resistor.
If you approach it with a normal 2 lead 0.01 ohm resistor on a PCB, firstly you will have added resistance from the copper traces, and this changes with temperature, which when your traces might make up 1% of the resistance value, matters
By seperating off those 2 leads, all the current flows between the main pads, but your measuring exactly across those measuring points, as you will be measuring with a high impedance meter or amplifier of some kind, you can treat it as a voltage, and that trace resistance no longer matters, maybe attributing 0.0001%.
Now as for how to make a kelvin resistor, this is actually pretty easy, if you pick something like a 1206 SMD you can split the pad in 2, this will remove the solder from changing the resistance across the resistor.
for through hole, if your working with high enough precision that you need kelvin sensing your probably in to low temperature coefficient resistor materials, which means you pick 2 points on the lead you want to be your value and loop on a second set of leads for your measuring points,
Note that it gets a little hard to make a kelvin decade box, in these approaches the general method is instead of using a copper PCB you instead use low tempco metals and switches to interlink the resistors, and split the sense jacks and current jacks at a point in the box where it reads correctly.
A little bit more detail would help, The metrology area of this site has plenty of teardowns of precision decade boxes if thats what your planning to aim for.
If you literally want a box full of just 0.001, 0.01, 0.1,1,10,100,1000 ohm resistors with 4 jacks a piece, that is much easier.