Last night I attended the OC Wordpress Meetup which was put on by two very talented guys. Those of you who are REVA's may know of them through RealEstateShows.com.
Anyhow, they posted on their blog last night a very straight forward how-to guide that literally walks you through setting up a self-hosted wordpress site. I may be the only VA left out there that hasn't mastered this yet, but hopefully it can be of help to someone.
Setting up a Self-Hosted Wordpress Site on GoDaddy
They also walked us through creating a plug-in and recorded it, so you may be able to find that on their site as well.