If you're doing it for the first time (and tend to have muscular legs) I recommend going light on weights, and focusing on form and range of motion. Some of the moves (like the 1-legged squat/lunge done with the back foot on the high step) tend to work better by targeting the glutes if you don't go too heavy in weight (which can cause you to alter your stance and use other muscles than the glutes, like the rear quad in this move).
I always go lighter than I think I need to when I do a workout for the first time, because I don't yet know what the cumulative effect of the moves will be done in a specific order.