Great plugin. Works well and has lots of customization options. I would suggest installing it before you install your theme and begin working on a new site, setting the plugin to rewrite core files. If you do this after you build a site, you're liable to get some broken links and headaches, but I've installed it now on every one of my new client sites (10+) and it works like a charm.
As a side note, I completely f*kd my own website because I was stupid and careless about not backing up the database and files and decided to change the table prefix well into the site build (re: after it was completely done) without making sure I had a local copy. So...don't do that. Just follow the instructions, and if you can, install it pre-build and you shouldn't have any issues. But always err on the side of safety and backup, backup, backup.