It's very satisfactory once it's done. Although it does require patience, you'll want to do the CPU once you've done the HSF.
Get a slab of glass, and I think I used 400, 600, 800 and 1000 grit, I tape the sand paper down so it doesn't move around.
Do not do figures of eight, it will be hard to apply even pressure. Do not put too much pressure on the CPU/HSF, just light, even pressure with your hand.
I usually do a complete 360 degree turn before I move onto the next grit. I don't mean that I turn it in circles, I only go up and down. I'm sorry, this is very difficult to explain. I'll try and find a video on Youtube showing the technique I use. I lap the CPU one way for a period of time, rotate it 90 degree and repeat until I have turned it 360 degrees. If I'm still not satisfied I will repeat, otherwise I'll move onto the higher grit.
EDIT: Here is the EXACT technique I use:
I used to lap up to 2000 grit but I realised that it didn't affect the temps at all and was a waste of time. Remember, it just needs to be flat, not shiny. Try to get the surface as flat as possible with the low grit before moving onto the higher grits.
You may find it easier to wet the sand paper slightly at the higher grits as it will help the CPU/HSF to glide better. If you feel uncomfortable wet lapping the CPU, that's fine.
And I personally found AMD's IHSs to be a little flatter than Intel's, so good luck.