So I took the tour for being a Package Handler.. listened to what they had to say and stayed to the end of it. No big deal. I'm down for physical work.. but now i'm sort of paranoid.
There's a lot to take in after your training period, but don't let it overwhelm you. I, too, was a bit paranoid my first couple weeks. But the best thing you can do for yourself is to ask questions, ask questions, ask questions. And don't beat yourself up when you do something stupid or make a mistake. Everyone in the HUB, whether they've been there for one year or ten, have made those same mistakes.
Do you get to choose whether you want to be an unloader or a loader? From my understanding, being an unloader seems to be the easiest.. but probably the more physically demanding of the two.
You more than likely will not have the luxury of choosing where you work. That's generally decided for you. Basically, they'll put you wherever they need you, and if you're a new hire, you can expect to be moved arbitrarily.
Unloading is CAKE, in my opinion. The downside? You generally work less hours (2.5/3.5, usually), and time goes by incredibly slow. As a loader, you're expected to shoulder far more responsibility (HAZMAT, no miss-sorts, meeting your packages-per-hour etc.). The upside? You'll likely work longer hours.
With the loader, what exactly is meant by "building walls." I mean, I understand the premise.. but what does it entail? Is there a specific order (other than heavy boxes on bottom.. lighter on top) that they need to be in?
Some of the members here have given you decent enough examples. I'll only add that you should ask questions, ask questions, ask questions. Never assume that you'll be trained properly following your training period, because that's not how it always works. But if you ask your trainer if she/he can put you in a feeder with a GOOD loader to demonstrate how to load, they'll be happy to do so, and you'll be the better for it.
Other than than, bring water, stretch for a few minutes before start time, and implement the 8 Keys of Lifting into your daily routine. It may seem like a load of crap, but it prevents injuries, and makes work a lot easier.
Good luck!