Once you've downloaded the GECK, you'll need to install it to your New Vegas directory, which should be located in "Program Files\Steam\steamapps\common\fallout new vegas" by default.
1. You cannot use the same GECK for Fallout 3 and Fallout New Vegas. Please download the FNV version from http://fallout.gamesas.com/eng/downloads/geck.html. This will avoid a crash on startup when you read the FNV data using the FO3 geck.
2. When you download, install into the same directory where FNV is installed. This will avoid messages such as "libvorbis not found".
3. When you close a script editing window and you get a message that you were not able to save, this is usually because the script has a syntax error. NV GECK does not display any details about the error.
4. When you load a complex interior, you may see large grey regions where it appears nothing has loaded. This is usually because of room multibound objects blocking your view. You may wish to disable display of these bounds; see http://www.gamesas.com/index.php?/topic/1148040-how-to-fix-lighting-havok-and-rendering-issues/ for details.