My first question is whether you have a copy of the old site or a site map? Secondly, was all the content optimised, e.g. did it all have sensible urls and live in a sensible directory structure?
Ideally, however you do your redirects, you'd want to create a map of your required redirects. It could be that all the new content is going to be in the same location, but on the new URL (e.g. http://olddomain.com/directory/content -> https://newdomain.com/directory/content), in which case you could use .htaccess to simply forward to the new domain with the same path, or it could be that you're going to move everything about (e.g. http://olddomain.com/directory/content -> https://newdomain.com/new-directory/new-content-location)
Should I re-build the old site first, later build the new site, and then make 301 redirections from the old site to the new site? Or I just build the new site and redirect all the links from old site to my new site?
No need to rebuild the old site first, simply start your new site.
1. How to do 301 correctly to transfer the seo authory in wordpress? Should I set the 301 redirections from my host or should I have to set it in .htaccess? Does anyone know the code?
You could install a WordPress instance on the old domain and then use a plugin to manage your redirects if that's what you're more comfortable with, or you could do them using .htaccess.
2. Should I set every link, every page, every .jpg link from the old site to new site's related address one by one?
This is up to you. Depending upon the scale of your site, doing everything might be safest. However, if the old site was huge and you don't have a sitemap, that is going to take some serious time. I would probably use a tool to discover any existing links and then make sure I was redirecting them, while at the same time having a tool to catch any 404s for redirects I hadn't set up. (You could either give a 404 page or alternatively forward everything to the new homepage while still tracking). You could then add proper redirects for any relevant old pages that were still receiving traffic.
3. There are some good backlinks for the old domain, but now all the old site's links are broken, how to deal with the old urls that the backlinks pointed to?
I think that question is already covered above. 301 them to the new content on the new site.
Hope that helps!