Yeah the instructions for Windows are a bit incomplete/out of date.
When you build from Visual Studio, your bin\debug folder only contains the Sigil.exe and nothing else. You have to copy all the other necessary files into that folder as per the screenshot. Note that for a debug build, you need the Qt dlls (from your Qt 4.8.2 bin folder from the VS 2010 Qt install) that end with d4.dll. If you do one of the Sigil release builds, you need the Qt dlls that don't have the d in the suffix name.
The rest of the folders come from the src\Sigil\Resource_Files folder. Note the slight name difference for the dictionaries -> hunspell_dictionaries.
What tweaks do you have in mind? I am sure Dave & I would be interested to know, we have made a huge number of changes on the as yet unreleased code that you will see if you have cloned the latest Sigil source. Be good to have someone else testing them out (though bear in mind stuff that is in there currently is not guaranteed to survive the cut for the official beta release)...