The base needs to be thick so I would recommend either painting a 6mm piece of wood orange or gluing two 3mm pieces together. If you're going to glue then cut the base canvas twice. You only need to score the top most one.

Paint the area you scored on the top base black. You don't need to be accurate just ensure the score area is solid and get a little outside the line to be safe. This black will show through the yellow layer you're going to add next. 

Each canvas has the name of the color the pieces it contain represent. I recommend pre-painting the wood and then cutting it out rather than trying to paint after the pieces are cut as some of them are small. The paint will also allow you to wipe off any char easily.

There are essentially 3 layers to this sign. The orange base, black #1 and yellow make up layer 2 and the everything else makes up layer 3. Start by gluing black #1 and yellow to the orange base. Then glue black #2 on top of that using the edges for alignment. After that is in place all the remaining pieces will fit into the sign like a puzzle.