The first and most important step is to identify right and left pedals. Before you unwrap your pedals, look for the sticker on the packaging which marks the RIGHT pedal.
If you have accidentally removed the packaging or lose track of the R and L pedals, here is a photograph of what to look for to identify the two. The RIGHT pedal has a solid washer. The LEFT pedal has a split washer.
Pedal threads have been pre-greased for easy assembly.
Start by threading pedals by hand. Non-drive side is reverse thread. Tighten it by turning counter clockwise. Drive side is regular thread, tighten by turning clockwise or "righty tighty".
Once a few threads are in, position the 8mm hex wrench on the back side of the crank set and continue to screw in the pedals. Repeat process for left pedal.
Here is Omar demonstrating: