I used the method of copying over a file named update.zip, then you restart in bootloader mode (hold both volume keys and press the on button). Then from the bootloader menu you select the update file.
There's also an up front end to do it over at XDA:
http://forum.xda-developers.com/showthread.php?t=739304
Just click to root, click to unroot!
The sideloading (i.e., bypassing AT&T limitation of only using their or the main Google market) is pretty convoluted, but there's a one-click sideloader now too:
Android Central Sideload Wonder Machine
http://forum.androidcentral.com/showthread.php?p=236589#post236589
Though with it enabled directly on the phone you can download direct to the phone and install vs. having to connect to your PC.
I've been having a blast with customizing, widgets, themes, trying different UIs and launchers:
The notification system just shits on the apple product. I'm also digging AppBrain, I can remote install stuff just using any OTA mechanism (WiFi or 3G), so it doesn't matter where the phone is sitting.
Here's some current Android fun: