CUTTING:
With the Cuttlebug, you start with the A plate, then the C plate (C for Cutting).
You place the die rough side up. The ridge is the what will cut the paper. The inside edge is what will emboss.
Then cover with your paper and a B plate.
Run it through the machine. And this is what it will look like, after you remove the excess paper. There you have a shape. Use it as-is, or follow the next steps to emboss. 
EMBOSSING:
As you remove the B plate and the paper, make sure and leave the paper inside the die. You can take it out, but it can be tricky to place perfectly into the die again for an even embossing edge.
You will need to change your plates to emboss. Start with the A plate, then a B plate (emBoss).
The key to embossing is the Tan Embossing Mat. In the Cuttlebug, you will need to use 3 sheets of cardstock and the tan embossing mat.
Place the die rough-side up. Top with 3 sheets of cardstock. Make sure that when you place the Tan Embossing Mat next, that it is over the die. Top with a B plate.
Run it through the machine. Here is what the embossed edge looks like:
