New in El Capitan is the ability to take screen captures of the setup assistant windows. This is going to be very helpful when writing tutorials that involve the first boot setup assistant screens.
For each screen that you want to capture, press command > shift >3. Upon login, all of the screenshots will be on the desktop.
As a bonus, you can take a screen capture of the login window and it works the same way. The next user that logs in will have the screen capture on their desktop.