I haven't dealt with Shimano Casettes before, but from what I've seen of them there should only be one one position that the cog will slip onto the freehub in and as long as you put them on in the right order there's not much that can go wrong. I use SRAM cassettes which are all one piece except for the smallest tooth and the lock ring. The rest of the advise given has been very sound as well. Good luck - post questions if you have any - someone will know the answer.
