As long as you document everything you do, the principles are fairly simple;
It's best to create policies for groups of users, and exactly how it's done depends on the platform. Essentially, all that is involved is clicking boxes to say what you do or not not wish to apply.
My tip here is to create a group policy for a test group, so that you can see the results. Sometimes they can be unpredictable, so just choose a few related ones to start with.
If you're using NT4 TSE, use the policy editor to edit the ntconfig.pol on the PDC. You may need some templates, depending on the kind of policies you wish to set. For example, if you wish to hide drives from the users, you'll need zakwinnt.adm from the NT Resource kit.
Tip2: Sometimes domain replication may not take place as quickly as you would wish, and the policy will not be immediately applied. To overcome this, use Server Manager to force domain replication.
TheThin.net has loads of good template files, so try there first.
In W2k, the tools used are slightly different, but the principles are the same.
Hope this helps