As Dave says, I worked on one of these sets a long time ago, it's more of a tedious job than a difficult one, you just have to be patient and careful, those linkages are very small. Make sure to drill all your small holes first, after that it should go a little smoother. Don't pinch the small linkages too tight with the tweezers, they will go flying all over the place which means, adios, sayonara and good bye to them... I beleive they give you a few extra P/E parts with this. Below is the engine I did....
Hosted on Fotki
Hosted on Fotki
Hosted on Fotki
Hosted on Fotki
Below is a link to the actual build, hope this helps.....
http://s99.photobucket.com/albums/l284/mmmdrc/Mercury%20Project/#!cpZZ7QQtppZZ16