What I did for my first build was check over the connections and assembly, said a prayer and hit the power button. It worked.
I've never had a problem starting up the computer with everthing plugged in. However, powering up one step at a time (ie. just the CPU and memory first, then the video, then ... etc) is useful for troubleshooting and finding what is causing the computer not to boot.
I have the exact same motherboard and it works great. I did have to change the SATA jumper though since I wasn't using a SATA drive.
Good Luck