I am building a Xeon E3110 system myself, on an Abit IP35-E (see link below). The hardware assembly is essentially complete, and the system POSTed on first attempt (one of the few times in my life) both outside and inside my P182 case. I installed only two DIMMs of memory, however. Many folks advise installing only two (or even one) on first POST attempt, but if you've bought good memory and have a decent power supply, you'll probably boot with four OK.
My only initial issues have been the peculiar default
2 per cent overclock on the FSB (common to Abit, ASUS, et al, apparently): my Wolfdale therefore booted at 3.06 GHz. Also my system sometimes hangs when exiting the BIOS, but suspect this issue is peculiar to my Abit board, not P35 + Penryn in general.
If you've a digital camera, I advise you to take photos each step. Anything you might need to jot down (serial numbers, etc), any configurations you might need to tweak -- you'll have photographic documentation. Aside from the usual tools (Phillips screwdriver), you might want to have a directable light, fine tweezers, compressed air (if you're working in dusty environs), plastic ties, and some sort of magnifying glass. I like to have a second person about: even if he's not tech-savvy, he can provide a second pair of hands and a second pair of eyes.
And snacks, definitely snacks (nothing too crumby though).
Did you purchase the GA-P35-DS3L?