I just did the for the first time today. It wasn't so bad. I had a few issues with naming the setup project that was added. I wanted the installer to display the name of my app not the appInst that I used to name the setup project. It caused a conflict and I eventually got everything straight. So, just watch out how you name things, fyi.
It wasn't hard though, just fill in the property page for the setup project and add shortcuts in the File Editor if you want any.