No need to be nervous about installing it... just take your time. As someone who has been involved in several ECU installations, and plenty of street tuning sessions I can offer you a few words of advice...
1) Take your time. If it takes you a week to install it, so be it. The first one I installed was mine and it was a rush job - solding at 4am because your wife needed the car at 6am after having no sleep leads to mistakes, flat batteries, killed components, and a messy messy installation.
2) Buy a gas soldering iron - they are so much easier to use when crawling around under the dash of the car and easy switching from iron to heat torch for shrink wrapping is so much win.
3) pull the passenger seat OUT (!). You'll want the leg room so you can lay comfortably under the dash of the car without cramping. You'll probably be there for a while so spending 15 minutes tearing out the passenger seat is well worth the effort
4) make sure you have a multimeter which has a continuity tester and probes. Often wiring diagrams are confusing, especially when looking for things like constant voltage signals and so forth to wire into.
5) "easy mode" is running the full aftermarket loom through to the engine bay, cutting off the stock loom at the sensor and rewiring. This is far easier to manage/keep track of then trying to cut and splice into the factory harness but does lead to a messy install
6) "hard mode" is splicing/cutting/wiring into the stock harness inside the passenger compartment. With the exception of any "extra" sensors you want to run out to the engine bay, this leads to zero increased mess in the engine compartment for the ultimate "stealth" install... but BE CAREFUL if you do this...you can easily mess things up.
7) "extreme hard mode" is something i've only done once - with varying success - and that is to build a patch harness to allow easy swap backs to stock ECU. This uses nylon male/female plugs, crimps, lots more soldering and a requirement test every connection once they are made. On the car I did this to, we had problems for weeks tracking down phantom wiring problems. Car runs well now...if you're lucky the owner of the vehicle might come and give a testimonial to this method of installation.
8) Label everything. White tape and pen, put clues/hints/reminders everywhere.
10) be generous with your loom - don't cut things to exacting sizes...better to leave slack and wrap it up with some tape then stash it under the dash then cut short, screw it up and realise you've left yourself with no room to move. If you go with "easy mode", give yourself a good 4inches from the sensor to make your cut and solder.
when it comes to actually tuning it, remember safety first. Its far better to creep up on the tune from the rich side of safe, then it is to start lean and richen up. Leaner is meaner but it will kill things if you mess it up.
Tuning itself is always relatively straight forward. There are a pile of options for fine tuning in various ECUs but essentially you always have a 3D fuel map which plots fueling to load and rpm sites. Normally you have a 2D or 3D timing map which maps ignition advance to RPM and/or load sites... once you have it running, and the AFRs are good you can start mucking with things like cold/hot start, afterstart enrichment, afterstart ignition advance, dwell, injector phasing, transient throttle maps, water temp enrichment, air temp enrichment, deceleration maps and a host of other options that various ECUs will give you...but start simple - remember the engine requires fuel, spark, air and compression to run...everything else can come later once you have taken care of the basics.
I didn't intend this post to be a sermon.. just some encouragement, and some pointers to save you the pain i've suffered doing these sorts of things in the past. One thing i can't save you from is the inevitable soldering iron burns