Just a word of advice (after two days of trial and error!) you need to edit C:\Program Files\Microsoft Visual Studio 9.0\Common7\IDE\PrivateAssemblies\RSPreviewPolicy.config to grant the assembly the correct security permisions in order to get the code in the tutorial to work correctly.

Just add in a new code group with the url of your custom assembly and give it 'FullTrust' permissions. The System.Security.Permissions failed error.