Installing is really easy: depending on your OS X configuration you might even be automatically asked to configure your brand new mouse. If you're not, as in my case, just use the Bluetooth/Setup Bluetooth Device... and the pairing and the first configuration will be really quick.
Beware that if your Magic Mouse disconnects from your computer (because it goes into sleep mode or simply because you move your laptop and the mouse goes out of range) it will not reconnect again... unless you click it. Yes. This behaviour seemed really strange to me at first. I was expecting the mouse to automatically pair again, at least when moved. But it won't and you'll need to click.
Makes sense. If you're mouse is sleeping, it won't wake up when moved or when you slide your finger over it. Maybe Apple might improve this behaviour in the future: are we seeing accelerometers everywhere, aren't we?