Having bought the concepts and having decided to adopt them in real life (as against my intellectual evaluation of the process over the last 3-6 months) I am in the process of incorporating GTD principles. Here is what I am doing currently.
1. The first useful step is to clear the head (take a notepad, computer, pda whatever and write everything down). I used Bonsai outliner to divide areas of my life into Self, Family and Work and dumped everything there. Picked this up from a book called Lifebalance.
2. Create an inbox (paper, computer, pda etc.) wherein you can write everything as it occurs to you FROM HERE ON. I use a 3X8 legal pad for daily inbox - it forces me to clear the inbox in a timely manner and tear off the pages.
3. Create a paper storage system (if required) along the workflow mode (i.e. file holders or boxes labelled Reference, someday etc.).
4. Decide how you want to record your lists (successful outcomes/projects, next actions, and just information). Trust your system of inbox and lists, even if you suspect there might be something better out there. I used Bonsai (palm) and datebk5 (palm)
5. Decide on a date for the weekly review. Don't hesitate to start your implementation with a Weekly review - this one might take a week but worth doing.
Other suggestions:
6. Follow Jason Womack wonderful suggestion - Keep your collect and process activities separate.
Everything else depends on how you work through your day. My goal is not to think much about higher level objectives outside of the weekly review. I try to just focus on NOW and be engaged with some next action or other - achieve Relaxed Focus as against Panicked Defocus! Just remember that your goal is to work your way through everyday chaos. It is not getting everything done in an orderly fashion.