I've in the process of building a "gaming" computer from scratch with my son, Cal. So far, it's been interesting, fun and, yes, sometimes a little nerve-racking. I've found that making sure that we don't work more than 45 minutes or so at a time helps with the stress ;-) Cal caught me coming back it after we stopped, though, and called me out on it, saying that he wanted to make sure that when we were done that we could say that we worked together on it the whole time. I really appreciated him saying that! Sometimes he's more mature than I am.
We've pretty much been following the instructions at http://lifehacker.com/5828747/how-to-build-a-computer-from-scratch-the-complete-guide
, adding to that with various YouTube videos, online manuals, etc, when the parts we bought don't match the pretty pictures.