water shield installation
Yes, except that the flashing would go over the shingles also, (at the bottom) when you get to that point.
I would worry about getting the shingles and flashing sequenced right more than the felt and flashing. But yes, if you're going to leave it with only felt for any length of time, flash over the felt at the bottom and under it at the top. I would put the Grace under everything and pull it up onto the pipe, with as few cuts as possible, but you'll need some to make it wrap right. That's assuming you're talking about a pipe, if you mean a vent (which really isn't what I would call a penetration because it's just a hole before the vent is put on), but if you mean a vent, I wouldn't even bother with the Grace in those locations.
When you wrap the Grace around and up onto the pipe, make sure not to get too high so it shows past the boot.
BTW Grace is the ice and water shield