(June 22nd, 2010) Good news: The nice people over at Eye-Fi Inc. are letting me make all this setup be much more user friendly!
All you need to do is tap the Options button in the top left corner of the collection overview and choose "Set up Eye-Fi access"! (You have to have Internet access the first time you do this)
Once you're set up, you can open or create a new collection, take a picture and it should arrive. It can take a little while for the card to discover ShutterSnitch the first time it sends an image, so please give it a little time.
You only need to run the guide once - unless you want to switch between cards. Just run the guide when you want to receive images from another card.
If you're having problems, try testing transfers with your computer first, to be sure that there's not anything wrong with the card.
* Having Relayed Transfer enabled is usually the main problem - turn it off (Eye-Fi Center->Transfer Mode->Relayed Transfer). Once the card knows about ShutterSnitch, I haven't had any problems turning the Relayed transfers back on. (Edit: but others have, so just leave it off.. ShutterSnitch doesn't support RT anyway)
* To avoid confusion the first time your card needs to find ShutterSnitch, make sure that the Eye-Fi Center and Eye-Fi Helper is not running - for example by turning off / letting your computer go to sleep.
* You can test if your network devices have access to the Eye-Fi server by going to the address "http://<the IP address of your iProduct>:59278" in a web browser on a computer connected to the same wireless network as your iDevice. Remember: the server is only active when you're inside a collection. If everything goes right you should get a page that says "The Snitch is Listening".
Disclaimer: The built-in Eye-Fi support is based on the work of Jeff Tchang who found out how to talk to these amazing cards. I am not affiliated with Eye-Fi Inc. and you should not bug them if you can't get ShutterSnitch to work with your card - but only if you can't get it to work with the Eye-Fi Center/Helper on your computer.