Bring the AI files into Photoshop as a Smart Object and if you need to slice and dice any images.
Build your template as HTML files test it, and then port to WordPress.
Great on-going tutorial here and the most up to date I've seen:
Building a template is a lot of fun, but fraught with headaches if it's your first one. Took me two weeks to get one up and running with the attendant files/coding.
You may also want to look at blank themes to kick start your project:
Which is essentially 2010 stripped to bare essentials.
Or I prefer this:
If you use the 960 Grid then look at this:
It's also one of the key resources for me building my own theme.
You may also find this useful:
This is a bit dated:
And bookmark this:
You'll need to refer to it frequently.