I'd prepare the folds before cutting the pieces out, that's easier while they're still part of the page. And I wouldn't cut out any pieces except the ones I need immediately, cutting them all out at once turns the whole thing into a giant puzzle.
Also note that Pepakura weapons are a lot more difficult than armour pieces, both to pep and to harden. If this is your first try, you may want to start with something simpler.
And finally, make sure to read the stickies. They're full of generic tips.