I seem to remember the tutorial that came with 3dsmax was pretty good and covered the basics. It dealt with a chess piece I think... This is a bit dated but still holds up. http://www.poopinmymouth.com/tutorial/normal_workflow.htm
Normal map looks fine to me, except for the scalloped edges. You could fix those by changing the shape of the cage, pimpinmymouth talks about this in his tutorial. What material setup are you using to apply the normal map to the low-poly mesh? Xnormal does a great job with AO, worth a try.