One thing I noticed when first learning to fly was a lack of any visual reference on how to set up all the various parts of the Pic, you could go to places like Paul Goelz Piccolo page but you will still some times need to use your imagination to picture what needs to be done so I hope the following pictures and explanations help.
The swash plate is the part of the heli that transfers you right stick movements into changing the angle of attack of the main rotor blades (cyclic control) so it is essential that this when set up is level when viewed from the sides and the front and rear, although you may find that there will need to be some adjustment later once you get the heli in the air, as you can see in the second picture there is a slight tilt in the swash and it is not completely level this is to allow for the natural drift created by the rotors, I recently bought someone's failed attempt at building and flying a Piccolo which had been given a rough life, and on closer inspection I noticed that the servos although mounted in the correct place had not been lined up when glued into place, this meant that the servo rods were at odd angles and made it almost impossible to fly, it is essential that these rods are even and level for a stable heli.
The fly bar translates your cyclic inputs through the swash plate into the movement of the main rotors and it is essential the this is balanced and the the paddles are level at either end with the rotor head as in the picture on the right, a slight amount of upward pitch in both paddles can help with stability and control anything else will give poor control and lack of lift.

Also ensure that the fly bar has very little lateral movement in the rotor head as any excess play will lead to bad vibrations in the head due to the centrifugal forces pushing the leading paddle outwards , and if the rotor head pops of on a bad landing or crash or the blades strike an object re-trim the fly bar and ensure that it is still central in the rotor head a good way is to use a ruler to measure the distance between the paddle and the rotor head.
A common mistake some people make is the placement of the antenna lead, the manual says that it should be left to hang down by 10 inches, which although a good idea for a good signal it is also a bad idea for the new pilot as you will crash and in doing so sooner or later if left to hang will end up wrapped around the rotors and head and in the worst case be broken away from the picco board.

A good way to route it is to trail it down a landing strut and then to the tail skid ensuring that any places that the antenna comes into contact with carbon fibre or metal that you insulate it from interference with a good electrical insulation tape and secure it in place, never wrap the antenna around carbon fibre as this will lead to interference and cause glitches in the servo's and make the heli uncontrollable.  
Lastly, even though I have given these tips as a guide I would still recommend that you go to my links page and check out Radds School of Rotary Flight and Paul Goelzs piccolo pages.