The most basic thing you can do is prepare for their arrival. The worst feeling in the world is coming to a new place and not having a place to sit or computer to work with. Prepare these things in advance, show the newcomer their nicely setup workspace.
The other thing is to introduce them to the other team members. Spend a little time introducing everyone – their name, title, and make it fun by adding a fun fact about that person. This makes the new member feel a little less nervous and more at ease.
If you're working in a big office, take them for a tour of the important areas that staff usually use or gather at. Give them a little feel of what goes on in the company.
Another great thing you can do is assign a buddy to them. Best if it is someone who has the same or similar responsibilities as them. This allows them to create a conversation and get to know what to expect.
Inviting them for lunch is a great way to make someone feel welcome. Plus there is food! This also gives you the opportunity to get to know them better. You may very well find out that you both have a lot in common.
Make a new member feel comfortable and valued, they will definitely be grateful for your kind gestures.
Prepare for their arrival
Introduce them to the other team members.
Take them for a tour of the important areas
Assign a buddy to them
Invite them for lunch