I have my CE process running right now so I have fresh info about what to do. Here's a list of the DIGEMIN site where you can check your status once you get the code:
1 RECIBO DE PAGO POR DERECHO DE TRAMITE
This is the first thing you do, pay around 70 soles at Banco de la Nacion. I haven't paid any of the dollar amounts, maybe for being married, so just ask for "Derecho de tramite por cambio de calidad migratoria" and pay the amount they ask for in soles. Once you are here, you can also pay for the Interpol process, another 73 soles, described below.
2 FORMULARIO F-004
Fill your application form, where your new status will be "Casado con peruana"
3 TARJETA ANDINA MIGRACION
This is the white form you got at the airport/border
4 COPIA FOTOSTÀTICA SIMPLE DEL PASAPORTE
They need the fotocopy of the photo page and the page where you got the last entry stamp. They will also need a photocopy of your wife's DNI, both sides.
5 FICHA CANJE INTERNACIONAL INTERPOL RESIDENTES
This you'll do later and they send it to DIGEMIN in 5 working days, more about this below.
6 COPIA FOTOSTATICA SIMPLE DEL CARNE DE EXTRANJERIA
Doesn't apply if it's your first time.
7 PARTIDA O ACTA DE MATRIMONIO ORIGINAL
This is tricky, make sure it's the original one. If you got married abroad (not in Peru) and you had it recognized at a Peruvian embassy, you'll probably have a photocopy which has to be legalized (apostille) by the Ministerio de Relaciones Exteriores (Jr Lampa 545). Make sure you have a couple of copies of it before handing over the original to Digemin.
It is also important that your wife has her marital status in her DNI updated to married. They won't accept the application until she has this up-to-date.
CARTA DE GARANTIA
Additionally they ask for a Carta de Garantía which is not mentioned anywhere, but there is a sample of this hung on the wall next to the entrance of DIGEMIN. You can find this doc attached here:
Again about INTERPOL:
Once you have your application accepted at DIGEMIN they give you a copy and you'll have to take it to Interpol. But first go to Banco de la nación and pay the 73.44 soles (if you haven't done it yet) for "Ficha de canje internacional".
Take a photocopy of all the stuff you got so far and head to Surco, next to the crossing of Caminos del Inca and Velasco Astete. There they will take you some photos for 10 soles, make you fill some forms, check your teeth. You can go for the results yourself the next day if you want to speed up the process a bit.
Some more info here:http://www.expatperu.com/going-to-interpol.html
With this you are ready and you can check Digemin website regularly with the code they give you. Officially it' s 4 weeks but the advisor girl at Digemin told me it's usually ready within 3 weeks.
I hope I haven't missed anything. Good luck.