There is a thread HERE with information on how to fill out the NIE application form, and the procedure to follow to get your NIE.
I was at the police station yesterday morning at 7,30 or shortly afterwards, and was horrified that the queue stretched to the carpark. Normally I'm about halfway down the pavement if I get there at that time, about under the entrance court.
In the event, though, once they'd come out at 9 o'clock and divided the queue into Spanish and others, it really wasn't that bad, and I got numbers 17 and 18 for the people I was with. We were out by 10 am, and there is presently a three-day only wait for the NIEs to be issued. Not bad at all!
Just a tip: when you get your numbers, there is either an A or B on your slip as well as the number itself. For NIEs, it should be an A, but do check. When you get inside, you'll see two electronic counters with numbers on: one is counter A, the other is counter B. Make sure you are watching the one with your particular letter on as well as your number!