When I attempt a second airport express connection via Ethernet, I get error messages and sometimes disconnects from the Internet signals.
AirPort Utility 5.6 for Mac OS X Lion will track with the instructions that you have there although it is much faster and easier to use AirPort Utilty 6.1 in Lion.
Here I am assuming that your AirPort Express is an 802.11n version and you are setting up the Express by using a short spare Ethernet cable connected to the Time Capsule first....and then moving it to the desired location after it has been configured.
I also assume that you have previously tested the Ethernet cable to the remote location by temporarily connecting a laptop, turning off the wireless on the laptop and checking to make sure that you can get a good Internet connection that way.
Please confirm and add any additional information that you think might be helpful.