The first thing to get right is your choice of bits. There are millions of standards out there so make sure your seatpost, fork, headset, bb, front mech, chainset, etc etc will fit your chosen frame before buying. If in doubt, talk to the LBS or frame manufacturer.
The only remotely tricky things are fitting a headset and fitting a star-fangle nut. Both are perfectly do-able if you take your time and either get the right tools or bodge some of your own from nuts, washers, blocks of wood and threaded rod, etc.
A good tip is to bung the headset in the freezer for a few minutes before fitting – it makes all the difference.
Cutting steerers, etc is a doddle as long as you take your time and check your measurements before cutting. Hacksaw and an old stem are your friends.
Everything else is just following instructions and tightening up allen bolts.
Wheelbuilding is a step up from just putting a bike together. It’s a bit more complicated but not that hard. For a first bike build, I’d start by buying some ready made wheels. But if you want to give it a go, get Roger Musson’s Wheelpro book and take it from there.
The golden rule in all these tasks is to stop if things seem to be going wrong, take a breather and either go to your LBS or try again calmly.
Have fun – there’s nothing like building up a new bike.