Step One:
Open up WoW and wait at the Character Screen.
Step Two:
Open up oLua and proceed to select your character.
Step Three:
Once you've selected your character you'll go to a loading screen, THAT'S when you want to start oLua.
The reason behind it is since I've tried 2-3 unlocker's I've found that oLua won't freeze or force WoW to close during a loading screen. I don't know the logic behind it, but that's what I've learned through trial and error.
It's not much of a guide I know, but it does make using oLua 100% easier.