Polychords are an advanced way to achieve a grander sound out of whatever ensemble you happen to be writing for. A polychord is rather simply defined: "multiple chords". In the way we'll be discussing them here, this basically means that these "multiple chords" will be stacked on top of each other.
"Why would I do this?" you may be wondering to yourself. There are several potential answers to this question. It could be to blur the line of modulation, create offset stacked harmony, or even simply to increase the color complexity of your piece.
How do you make polychords? To start off with, you would take a bass harmony of whatever functional (or non-functional) location in your progression you're in, and add another chord (a triad, for now) on top of it. For example, in the standard ii - V7 - I chord progression in jazz, in C major, your D minor chord could have an E major triad on top of it to serve as a leading tone. In the example below, you can see that the E major triad on top of the D minor chord voice leads triadically to F major, which superimposed over the G chord sounds like a G11 chord, finally moving setpwise again to create a G major over C major triad, or what SOUNDS like a C∆9 chord (audio attached).
How do I know what chords to pick? This is one of those times where there are two justifiable ways to compose with polychords. The first is simply how it sounds. Do you like how open that polychord sounds? The second is in the double-analytical style, where you analyze two chord progressions simultaneously; one in one voice, and another in the second voice. If it makes sense in terms of the tonic, then chances are it would work well in context.
There are however more open/clean and more closed/tense versions of double polychords. Things that have more internal third related intervals or internal consonances generally have an open sound (this includes major AND minor thirds), and things that are based on internal minor seconds, or any other generally dissonant relationship (with exception of perhaps the major seventh, in certain contexts) are more tense.
Polychords that use different variations of the same tonic almost always sound jarring for this reason.
Obviously, you won't be writing just chords, so when writing melody and accompaniment/counterpoint it's important to keep your voice leading rules in mind to make sure your polychords aren't too stratified, that is to say, too obvious to tell. In my piece, "away, but never back", I use a polychord of Db major, Db augmented, and Db#4, and since the changed note is the 5th every time, it was very easy to make the chord blend (unless, of course, your goal is to have a jarring, super-stratified chord). However, it is important to note that any polychord can sound open or closed depending on your voice leading or spacing. The character of the polychord can be manipulated in this way, but inherent relationships will always exist due to interval inversion.
Assignment, if desired: Write a piece for solo, monophonic instrument and piano that makes use of basic bichordal polytonality. I will check up to 4-6 people who want feedback. Write your piece, post to the appropriate forum, then post a link here, if you want.