This may be a stupid question...many of the best practice guides for installing windows talk about sloping the rough sill that you set the window on. Plastic shims are also usually recommended. If the sill is sloped (say 1/4" over 3"), wouldn't that cause a problem when you set the shims and windows on it, that the window would not be level? I'm probably missing something -- please tell me, thanks!

The rough opening is(or should be) level across the length of the opening(along the top of the taper) so the window should set level. The placement and attachment to the rest of the rough opening should also hold the window level/parallel with the sheathing the way a nail fin type frame will square the window with the sheathing. What you want to avoid however are point loads or uneven loading of the window frame. A tapered rough opening could cause all the settled weight to be near the inner edge of the lower frame/sill where it rests on the top of taper, or the shims resting on the angled taper. By tapering the bottom shims at the same rate as the rough sill, you can cancell out the angled rough opening and support the bottom of the window evenly from inside to out.