The main challenge with the Falcon Heavy was getting the alignment of the grid fins and landing legs right. Unfortunately, the size of the grid fins from the model I found was too large to get the three booster cores close enough together for realism. Also for realism, they needed to be rotated 45 degrees from the main coordinate system of the booster. It turns out this is really hard in LEGO at this scale. The best I could come up with was to use four 1x2 plate with stud pieces to rotate the LEGO 4x4 stud grid at three different places. This introduced notable stability issues, which I counteracted using an axial 6M bar at the level of the landing legs and three half bushings at the level of the grid fins.
Here's my LEGO Falcon Heavy design, including first stage cores, second stage, interstage adapter, and landing leg struts. See the Payloads section for what to put on top, since there are so many options.
The Falcon Heavy's first-stage booster cores, interstage adapter, and second stage are identical to the Falcon 9. Please see the Falcon 9 section for build guides and tips for these components. In this section I assume you've already built them. Here are detailed pointers for integrating three first-stage cores into the Falcon Heavy configuration, in visual form. Click on any picture to enlarge it.
In order to join the three first-stage cores together, the long pin piece is the most realistic shape that the LEGO Group offers. However, it's not generally available in white, which is the color that all the artist's renderings of the real Falcon Heavy are showing. So I compromised and used medium stone gray. If you can find them in white, go for it!
As with the Falcon 9, I don't have anything about decals to post yet. I'll update this section when I have more.