This step by step guide was created with NetBeans 6.x and the 0.5.0 release of the SDK. However, the general principals outlined here should work regardless of the SDK version.
Step 1: Unzip the SDK
Step 2: Open NetBeans and create a New Project using the "Java Application" template. Fill in the required details but uncheck the 'Create Main class' box. Your new project should reside in a clean directory.
Step 3: Rename WorldWind's 'build.xml' to something else (ww_build.xml) and copy all the WorldWind's unzipped content to your NetBeans project folder so that the src folders overlap. You should end up with a folder structure very similar to the WorldWind unzipped folder, plus a 'nbproject' and a 'test' folders. The 'build.xml' file is the one created by NetBeans, not the one that came with the zip (which is why we renamed it earlier).
Step 4: From NetBeans, you will notice that some folders/classes are marked with a red exclamation mark. We now need to tell the project about the required libraries. Right-click your project's node and select 'Properties' (typically the last menu item). Select the 'Libraries' node from the Categories tree and press the 'Add JAR/folder' button on the right. Keeping CTRL down, select the 'gluegen-rt.jar' and 'jogl.jar' that are now inside your project folder. Click 'ok'.
Step 5: At this point, only 2 classes in the '...examples.Applet' package don't compile (still have the red exclamation mark). Go back to the 'Libraries' category like before, but this time you need to add the 'plugin.jar' located in your JDK/jre/lib directory (for example, C:\Program Files\Java\jdk1.6.0_10\jre\lib\plugin.ja r)
You can now run any of the examples by right-clicking them and selecting 'Run File' from the contextual menu.
Hope this helps,