Ok,
I don't have time for a full guide, but use:
http://www.gamesx.com/arcade/cheapjamma.htm (bear in mind this is JAMMA - neo is slightly different. Neo pinout guides etc are at
http://www.hardmvs.com/html/Downloads.htm)
You wire R,G,B and Sync to the appropriate pins on a SCART cable. You also need the +3V pin to make the TV recognise an RGB signal. I wired up a multi voltage adapter to do this. you can wire in two AA batteries - but they will need replacing fairly regularly.
Then you need a PC PSU for power.
Two speaker cables.
Cables for the controller - you can wire them to a 15 pin PC controller port (Maplins!) and use a regular Neo controller.
And there you go - a "supergun" for cheap.
Enjoy!