some of the advice given here is so so bad!
Ok first off DO NOT cycle with Damsel Fishes...not only will thye get agonizing Ammonia burns thye will lose there colour near permantlly and will never look liek they are supposed to,this will also shorten there life consederabley.
Also putting Damsels in first cause's all kinds of other problems,Damsels will claim the tank as there own and harass and kill anything that is put into the tank there after,espeacilly clowns and other Damsels.
If you have fully Cured Live Rock,that should go in first,let the Ammonia spike (will happen immediatly) 24 hours check the water quality,if the Ammonia and Nitrate readings are OK you can then put in your Live Sand,putting the Live sand in first with the Rock will cause massive die off within the sand.
After 7 days of Live Rock cycling your tank will be ready for stocking.
NOT A MONTH LIKE FRESHWATER TANKS,the die off on the Live Rock will cycle the tank extremley quick and the bacteria in the rock will deal with it very quickly.
Imagine a new freshwater tank which is a 20 gallon,running a filter than weighs 10 kilogram,a filter that was as big as the tank it self with mature media....your tank would be instantly cycled.
My tank Cycled after 2 days,i left it to the end of the week only becuase i was skint

then i went and purchased 2 Ocellaris Clowns,9 hermits and 2 Turbo Snails.
24 hours in,water test...perfect.
Week later i added a Yellow Tail Blue Damsel and Yellow Clown Goby...24 hours later..stats perfect.
5 months in and lots of invert additions (crabs,shrimp,coral) i have had zero losses and perfect parameters.
Cycling a Marine Tank is soooo sooo much easier than a Fresh Water setup.
Word of advice...if you do plan to add Damsels,make sure you add your other fish FIRST or at the same time as once they have claimed that tank there is nothing you can do but donate them as they will fight everything to the death.
My Friend cycled his tank with a Humbug Damsel,his first addition was a Clown Trigger Fish (big tank) and the Damsel did nothing but pester it constantly to the point where it had to be removed.
And thats pestering a fish that is capable of biting the little Damsel in half with ease!