Step 1: Getting Started...
Create a load out with a PDA for the sentry gun and a good wrench.
From there you need to join a game and find a safe place to set up.
Set up your dispenser first so that you can get metal to build the sentry or upgrade your dispenser.
Once you max out the level of the sentry pick it up and prepare for the next step.
...Continue on next step...
Step 2: Prepare to Run
Make sure to place the sentry along the way but place it before you see a enemy because it does take a while for the sentry to set up and be prepared to protect itself and you. If you place to late your are pretty much asking for a death.
(If you do die then you have to start the sentry over unless it wasn't destroyed.)
Once you make it place the sentry down and wait once you capture anything relating to the game mode you are in.
Grab It and begin the run home