Just to mention something... The howtos never mention anything about the .config file. This is the file that contains the information for all the kernel modules that are currently configured in your presently running kernel. Make sure you save this file somewhere else, because running 'make mrproper' will delete it.
Let me tell you why this is important.. Supposed your current kernel is running perfectly fine, you got sound, you got support for all your lan interfaces, etc... Now supposed that you want to add iptables support to your kernel, so you do.
make mrproper; make xconfig; do changes you want; make dep;
make clean; make bzImage; move image into place, edit lilo.conf ,etc...
Well, doing this will add iptables to the kernel, but will have no other modules configured. That means that when your machine reboots from the new kernel, you will have no sound, no support for you lan cards, etc... The only way to keep all your old modules is by reading the .config file after running 'make config' or 'make xconfig'
By the way, if your .config file is gone, run 'make oldconfig' to generate the .config file based on your presently running kernel.
Hope this helps,