Your LBS may not touch a bike that wasn't bought from them, or they may charge you significantly more than $30.

As for things like spoke tensioning...that's a crap shoot. Not all shops take that level of care on initial assembly. Many will include a wheel true on their free "30 day tune up" or under similar policy, but don't bother on initial assembly. In other words, you didn't buy it from them, you get no tune up for free, and they don't habitually do it to start with. Dérailleur adjustments aren't hard. The Park site, as Stacey pointed out, will get you through it painlessly. Even Schwinns are pretty close out of the box though. And I've never seen a cone wrench used on a bike out of the box unless there's an obvious problem that indicates it.

95% of bikes can be assembled out of the box without any problem for anybody that can read and has a basic mechanical aptitude. Of course my experience building literally hundreds of bikes may make it seem that way to me, but on the other hand, I've talked to a lot of people that build bikes up for a living, and half of what they tell you gets done so thoroughly is crap. I think you'd be better off building it yourself, adjust things as you find them, ask questions if you run into trouble, and maybe taking it in for a basic tune up after about 6 months.