DNN webfarms are hardware independant ... you should be able to get one running on a bunch of old pentiums if you really wanted to :)
You didnt say how many blades you have in total, and what you want to have on each ... sounds like 2 blades that you want to build one cluster out of, and that will be your IIS server. Plus I imagine you also have another box, probably a blade as well for the DB server, but you do not have a box for the fileserver, instead you have a SAN - are all these assumptions correct?
First thing is that a cluster behaves to all intents and purposes like a single box. So you just set up DNN as normal. You wont get load balancing, unless you have more than one cluster.
For IIS, you must use the UNC share method - using a SAN should be identical to using a dedicated fileserver. The only other method is file replication (replicate onto the IIS blades), which is never a good idea, and very hard to get working correctly.
I have not used a SAN as the fileserver - and I dont even know how a SAN will be different, after all you can still set up a shared folder with a UNC path on the SAN, right?
As for gotchas, everything you need to know is in 3 places, the DNN webfarm guide, the MSDN webfarm guide (link can be found in the DNN guide), and Phillip Beadles blog .. search for "caspol"... but you have probably read all of these already.
JK - a battle scarred DNN webfarm veteran.