Using TWRP 2.3.0.0 to install Embryo 6
I use TWRP 2.3.3.0
Select Wipe from main menu
Select System and confirm when prompted
Select Dalvik Cache and confirm when prompted
Select Factory Reset and conform when prompted (wipes data and cache)
Go back to main menu and select Install
Navigate to the correct directory and select the zip(s) you want to install.
I was successful with both selecting the zips one at a time and installing the base, data, and nexus boot flash all at once.
I did not reboot between flashes when I did the files one at a time.
The second time I used TWRP's multi flash feature and did them all at once. They will install in the order you choose them.
Edit: I was on CM 10, 12/29/12 nightly.
Edit2: All files were on External SD card