How do you know what independent variables to include in a regression model?

After a few biostatistics classes, I began fitting my first logistic regression model using my physician friend's data on tumors excised from skin cancer patients. I realized that although we were very clear about the dependent variable we were trying to predict – a certain feature of the tumor – I really did not know how to pick the independent variables that belonged in the model. We only had a few to choose from in our dataset, and I put them all into the model, but I wasn't really sure what to do next. Remove the ones that had a slope with a p 0.05? I asked one of my professors what to do, and in her own idiosyncratic way, she seemed to describe what I will call "stepwise selection".