I have a set of instructions on my laptop at home. I need to clean it up a little, but it includes all steps to get a blank SD card to a fully working installation for my needs. Some steps may not be needed for some, but I will leave them included in case others find them useful. I hope to get that file cleaned up a little and I will upload it this weekend.
The short answer is that you need to install mono-complete (IIRC). Do not install the full 4.0.4 update from the URL you listed as it will break HG (as you've already found). I think I posted a short dirty version of my guide on the forum so if you can't wait, an ugly version may be available.