I used the big bang approach and spent 2 days clearing out and putting the system in place (that was back in 2009 and I've never looked back!) Once I had the set-up ready I found that I managed to get into the GTD style of working quite quickly. I found it so important to have the basic set-up so that I had a place to put all my actions and all my support material that I trusted as I processed things and learnt the GTD methodology. I just worked on the runway stuff for the first few weeks and didn't really get to grips with projects until a few months in. Lists like the Someday/Maybe list came later still as I got more and more comfortable with my everyday work and was able to expand my thinking and throw up more ideas. Getting the weekly review as a real habit was hugely important for me. My reviews were a bit too sporadic to start with and I think I may have been as much as 8-9 months in before I truly managed to get to grips with making the review absolutely weekly. When my reviews became regular all of the other pieces became easier and easier and the habits have become truly engrained and comfortable.
I still tweak my system and try out new ideas from the forums to improve things - it's definitely an ongoing process.
Good luck with implementing and do let us know how you are getting on.