How do you change transmission fluid?

I just got several quotes to change the transmission fluid in my 2004 F150 (5.4 liter) of around $125. :shakehead Wow. The last time I got it done on my 1998 F150 it only cost about $40.

This is for the 30,000 maintenance.

I'm considering doing this myself, and have some questions:
- The last time I changed the transmission fluid in a vehicle was many years and resulted in a grand mess. After loosening all the screws, and prying on the pan, it dropped suddenly and poured transmission fluid all over me and the driveway. So, how can this be avoided? One way is to drill a hole in the bottom of the transmission pan (carefully), then buy a self tapping bolt to fill it when done. Any ideas will be appreciated.
- The other question is whether there is anything tricky about this job that isn't obvious, something like when you drop the pan four other parts drop out that you can't figure out how to put back? Or, is there anything tricky about changing the filter?

Thanks for your help.

Its a little messy start on one side such as front or back after removing bolts then go down sides one at a time on each side eventually the front will start to drop a little letting some out.Set your pan there then slowly just keep going til just a couple left by this time a lot should have came out then just hold one hand up on pan take last couple out slowly bring down. My yukon has a drain plug but my 01 ford does not check for that first.The filter is easy just make sure the little ruber seal comes out when it comes out just look at new one youll get what im talking bout.Your gasket should be a reuseable one its ruber with wire in it and it will say on it reuse make sure it goes back on just like comes off.Your fluid should be mercon 5 call dealer to make sure USE WHAT IT CALLS FOR .Going back up hand tighten all then start a z pattern back and forth. Its not hard just dont get in a hurryDAVE

transgta: Thanks for the info.