Creating a software RAID array on an already installed Ubuntu 11.04

Let's say you got confused by a misleading fake-RAID feature on an HP Blade server and you decided to ignore that the Ubuntu installer was telling you it found 2 disks while it was supposed (if it was actual hardware RAID) to be detecting only one. And let's say you are lucky to have 3 disks, and you only one to use two as the RAID array (and they do not contain your operating system, i.e. the / partition). You might wonder: "And now what? S**** you, HP!" (that last bit is if you left panic get you, of course).