If you'd rather install Windows using a USB thumb drive, read the steps below first and then move on. At any rate, make sure that "Download the Windows support software for this Mac" is checked, which starts a download assistant that puts the Boot Camp 4.0 drivers on your desktop, on a separate USB drive or burns it onto a blank CD/DVD.
On the next screen, you're going to face a tough choice: How much disk space do you really need for each operating system?
Windows needs at least 20GB to work properly (system files, page file, hibernation file, system restore points, etc.). This is the absolute minimum. Depending on how much data you want to carry around with you and how many programs you need, you'll likely need a lot more than that:
In my example, I give Mac OS X 40GB (since I rarely use it) and Windows 80GB.
Choose the disk size wisely. Only a handful of disk partitioning tools are capable of handling both HFS and NTFS partitions reliably (I have personally tested Paragon CampTune, which works great, but there are a handful of alternatives).
Decided your size? Then let's hit "Start Installation" and start the installer. Next, reboot your system and hold down the "option" key while doing so. Jump to Step 4!
Hint: Deleting the Mac OS X partition is a bad idea
I know some of you are playing with the idea of getting rid of Mac OS X entirely to save money and have a "clean" system (I get that a lot). I strongly advise against it. Mac OS X is literally the only way to get firmware updates for your Mac hardware (EFI, Bluetooth, SuperDrive, Wi-Fi, SSD, etc.) -- in many cases, such updates have proven to be a live saver when it comes to performance and stability.
Step 2: Create a bootable Windows 7/8 USB thumb drive
Whether you've got a MacBook Air/Mini (2011) or any other Mac with an optical drive, installing Windows from a USB drive is just the more comfortable option: first, the setup is done in half the time, second, this thumb drive is also a more portable Windows Recovery Environment. It doesn't scratch and fits easily into your travel bag -- if your system gets messed up, plug it in and run the repair options. Here are a couple of ways to create a bootable key (remember, you're going to need at least a 4GB stick):
Create a bootable Windows Setup USB using Boot Camp Assistant (MacBook Air/MacBook Mini only): Launch the Boot Camp Assistant, check "Create a Windows 7 install disk" and hit "Continue".