Hey, These types of logos should be created in a vector based program like Illustrator. Photoshop is a raster based program and can not create true vector images. This is a very common misunderstanding. Photoshop does have so called vector tools and can save some vector content in some formats (psd, pdf, eps). However, Photoshop can never create a true vector file.
But you can use Photoshop if you want. The best way to create custom logos like this would be to use the Type Tool and create your text. Convert the text to a path and then use the Pen Tool or the Direct Selection Tool to alter the text. Of course you could create the entire logo with just the Pen Tool.