Step 3: Cut the fingers on the first piece
For the first cut: Align one side of the side piece with the inside edge of the jig finger. Route a hole. You should now have a piece that has a 1/4" square hole, 1/4" in from the left edge (see picture).
For the second and following cuts: move the piece so that the slot you just cut fits over the jig finger. Route a new hole. Repeat until you run out of board. If the last hole doesn't align perfectly with the edge, don't worry, the corresponding piece will have the same amount of left over hole.
Between routing holes, especially if the jig finger is a tight fit, you may want to run a square file through the newly cut hole to adjust fit. Don't file away too much, just enough for it to fit tightly.