I take it the heat gun (I have one) is for finishing the job with heat-shrink?
Yes. There's a lot of left outside the part that is inserted so good to have it well insulated. Plus it looks nice. :)
Is this going to present any particular challenges I should be aware of?f
I don’t think so, unless the total gauges is bigger than 10. If you find it doesn't feel like it's gripping all of it consider crimp-on sleeves like they use for WBT and Furutech. Relatively cheap here.