Well, when you're good and ready, Mac Observer has just the guide for you. It's so extensive, it practically holds your hand when taking your first steps to the land of iOS 4.1. From considering whether you should upgrade or not, to making sure your 'must have' apps are compatible and backed up for the new update, the walk through will guide you every step of the way, without making you run before you can walk!
Seriously though, if you can't afford any mishaps, it's well worth the read. The walk through will even guide you on resetting your iTunes warnings so that the ones you nonchalantly clicked through last time will trigger again. Just make sure you read them this time, OK?
Have you upgraded your iOS device to software version 4.1? Have you hit any snags along the way? Let us know how you're doing in the comments.