I went biceps, forearms, thighs, shins, helmet, then body. Biceps and the forearms are easy to size and put together. It'll give you some confidence for the rest of the build.
I don't know if I would call it a "horror" story exactly, but, I was at a troop the other night at an elementary school, and some little jerk tried to steal my TD! Luckily I felt him prying it off.
Glad it helped. I attach my thigh using a garter system. I have a 1" nylon belt I wear around my waist, then have a 2" elastic strap that is looped around the belt and then snaps to the inside of my thigh. I know some people have built them attaching the straps to the ab armor too. There is a member who sells garter systems in the ongoing sales sections. The calf and thigh armor are not connected.
I used the ABS glue that came with the kit, because I have zero patience. Measure, measure again, cut. Tape it, make sure it fits, make sure it fits again, then glue.
For the helmet frown, I've seen a couple tutorials where people will drill a couple small holes in the recessed tooth area then finish it up with a xacto knife and small files.