Some quick things I would like to add, from my own experience:
- You may want to backup the existing file called System.map in /boot and replace it with the new one that will be generated after the compile. It will reside in the root of the kernel tree (/usr/src/linux).
- Also, it doesn't really seem explicity mentioned here, but if you are editing your lilo.conf manually, make very sure that you left atleast one old, working image configured. This will assist you greatly if your new kernel spontaneously combusts when you reboot.
- One other thing that does not seem explicitly mentioned. When using make bzImage (the most common method, I believe), the actual kernel image itself will be in the /usr/src/linux/arch/i386/boot directory for intel machines. It will be called bzImage.