Create individual Artboards for each panel in your scene. If you want a full, wrap-around experience create one panel for the scene and select panorama mode.
The ideal size of your Artboards may depend on the number of panels in your scene but 800x600 is sufficient for 5-6 panel scenes.
If you're creating a panorama scene the recommended dimensions are 5400x1000.
Once you have created your content, export each of your Artboards at x1 as either JPEG, PNG, or GIF. Once you have exported your images you may log in and upload your content to a scene within a project. You may reorder your images by dragging and dropping to achieve the desired spatial layout.