I can recommend a few sites....
pcmech.com has a pretty good tutorial for slapping together a pc.
If you like pictures,
tomshardware.com has a pretty nifty tutorial that helped me out quite a bit when putting together my first pc.
1- Processors and heatsinks aren't too hard to install, but like the man said they are fragile and it is very easy to screw it up. That being said, if you take your time, read the documentation before hand and take it slow, I think you could do it. Just make sure you have everything, read, then re-read the instructions and for chrissakes, don't "force" anything. The heatsink, in my opinion is the bitch of this bunch and is the hardest to install. I've installed heatsinks on motherboards already mounted and sans case and I can't honestly say which is easier.
2- Of course it's important to watch your grounding at all times. It's important to be aware of your grounding when dealing with the motherboard, but equally important to watch it when your slapping the cards, hard drives, and CD-ROMs in as well. One errant touch and your whole project could be screwed up.
3- I have to disagree with adding one component at a time, however. If there are problems getting it started after you're done, you can eliminate each individual component just as easy. As an added bonus, if it all works the first time, you don't have to stop, kill the power and venture again into the dark recesses of your new pc every time you want to add some hardware. That's just my opinion, to each his own.
4- Get yourself a prime work area as well. I guess this should've been number one, but, hey, hindsights 20/20, right? A nice flat table next to the eventual destination is where I like to set up shop. Along with a nice selection of various tools (an assortment of smallish screwdrivers, pair of pliers, etc....) and good overhead light. Once you get all the bells and whistles and boot up a few times without accident then you can screw on all the covers and close shop.
Aside from a basic knowledge of what you're working with, a good bit of common sense is important. Not to mention, the patience of Job. If you're lucky, it'll all work out fine and you'll come out of it with a fine sense of accomplishment. If not...well you'll be a little wiser. You'll still have that fine sense of accomplishment, but tempered in a healthy dose of humility.
Most important....No distractions. Take your time. My grandfather used to tell me to think twice, act once. I find that especially true tinkering with computers. For that matter, tinkering with anything.
God, that was long, wasn't it? Anyway, good luck, and remember if you run across any problems, there's bound to be someone here who can help.