For Step 4, I was able to return once again to the HTKBook, but I got the following error:
  ERROR [+6313]  OpenParmChannel: cannot read HTK Header in File /Users/rcantrel/SR/htk/train/wav/sample14.wav
  ERROR [+6313]  OpenAsChannel: OpenParmChannel failed
  ERROR [+6316]  OpenBuffer: OpenAsChannel failed
  ERROR [+1050]  OpenParmFile: Config parameters invalid
 FATAL ERROR - Terminating program HCopy
I ended up having two config files, my main one, config:
    SOURCEFORMAT = WAV
    TRACE = 1
    MICIN = T
(those are tabs that begin each line)
and a second one, hcopy.config:
TARGETKIND = MFCC_0
TARGETRATE = 100000.0
SAVECOMPRESSED = T
SAVEWITHCRC = T
WINDOWSIZE = 250000.0
USEHAMMING = T
PREEMCOEF = 0.97
NUMCHANS = 26
CEPLIFTER = 22
NUMCEPS = 12
ENORMALISE = F
where the configuration values are at the beginning of the line. The important point is that SOURCEFORMAT = WAV in the main config file. Otherwise, it assumes the input files are .htk files. I don't even know what those are, so I'm pretty sure I don't want to use them.
I set the main config file using:
export HCONFIG=/path/to/config 
and the final HCopy command was:
HCopy -T 1 -C hcopy.config -S dt.plp.list