This is something that you should do when your online profile reaches a sufficient level that makes it worthwhile and it’s well set out in this post on DIY Musician.
Make sure that you follow the links to the ‘how to’ posts for each of the sites at the bottom of their main post.
The two places that I think really count are Amazon’s Artist page and Wikipedia.
The hidden reason for getting your Wikipedia page sorted is that the links that you can put on your Wiki page to each of your online presences (Website, YouTube channel, Facebook Page etc) is very strong. Wikipedia has what is called high ‘Page Rank’ and that tells Google to rank the pages that it links to very highly – just what you want.
Getting a Wikipedia entry to stick when you have no real online profile is difficult and not worth the effort – do it when you are noteworthy enough and use it to ‘juice’ your other sites.