Step 3: I love the smell of solder in the morning.......
This is always my favorite part. Following the layout on the PDF I always start with Resistors first. If you don't know how to read a resistor I recommend printing a chart off the web for reference so you can keep the values straight and not mix them up during the build. You can also set your Digital Multimeter to Ohms and measure them individually, if your resistors are 5% tolerance then the resistance for a 100 ohm resistor could be 95 to 105 Ohms and still be in spec.
Next I move to the Diodes and the Capacitors. Current only flows one way through a Diode so watch the direction so you don't install it backwards. Ceramic and Film Capacitors aren't polarized so they can be soldered in any direction but the Electrolytic Caps (round can looking ones) are polarized so make sure that are placed correctly or they could explode. (There is usually a stripe running down the side of the can with a "-" sign that corresponds to the Negative leg of the capacitor. The circuit board layout diagram always has a "+" sign on it where the Positive leg goes.)
Although not on the parts list, I bought an 8-Pin IC Socket for the LM308 so I could swap it out with other Op-Amp chips later if I wanted to do any mods without having to unsolder anything. You can get a set of 2 at the RatShack for .69 cents... part # 276-1995. After the components are soldered then precede to the wires. I bought a three pack of 22 gauge wire at RadioShack that comes in Black, Red, and Green so I could keep the similar paths color coded for a fool proof assembly.
Solder the Pots to the wires next, paying attention to the order (this is where different color wires helps out. I like to twist similar wire bundles together to keep things organized and keep them out of the way. Remember that in the wiring diagram the pots are shown face down so keep that in mind when soldering.
Alrighty, lets lay out the case and stuff in all together!