The process has a few niggles I had to work out, so I will mention them here.
Firstly you need to get the Arduino Software from here or if you have Ubuntu 11 you can simply apt-get install arduino
Then you need to get the sanguino software from here
Extract this into the appropriate place your your system.
[edit: only needed for version 1.0 or 1.1 boards]
Once you have extracted the files edit the boards.txt file and change the line
sanguino.upload.protocol=stk500 to sanguino.upload.protocol=arduino
Without this line Arduino would not upload the firmware, insisting that the hardware ID didn't match.
You also need to get a copy of Sprinter from here
Load up arduino and change your board type to Sanguino and set your serial port to the one that is connected to your Sanguinololu.
Now load the Sprinter Sketch
Go to the configuration.h page and edit the line
#define MOTHERBOARD to be #define MOTHERBOARD 62 [for version 1.3a]
You also need to edit other parts of this file to match you hardware.
I also don't have any end stops, so I had to disable these, to do this edit pins.h
At the bottom of this file you will find a section that starts with
#elif MOTHERBOARD == 62 [for version 1.3a]
In this section change #define X_MIN_PIN
to all be -1, ie disabled.
Hit compile,there should be no errors
Hit upload and it should upload to the Sanguinololu. It should upload without issues
Sometimes I find arduino just wont connect, I find that pressing the reset button on the
Sanguinololu and the upload button simultainiously seem to get around this.