In a few days I have an intern joining for six weeks. It's a data-analysis job (mostly pandas, maybe some excel) in a commodities trading role.
The project scope is clearly defined, should be within her ability, but the actual exploration and 'figuring out' is up to her. It's not a checklist of micro 'todo' items.
I've never hosted an intern before, and I'd like to a do a good job of it. What things should I look out for?
I think you're underestimating the amount of hand-holding that will be necessary, especially at first. Maybe you shouldn't provide a checklist, but create one together or somewhat collaboratively. They're at the point where the don't know what they don't know, so ask them to research options and report back with what they think the best option is and why, this gives you the chance to set them back on the right path if they stray too far.
Make it clear they can google stuff, ask them to document their questions and assumptions, get a regular feedback cycle going. Maintaining this communication is your biggest job, ideally have set times to meet 3-4 times a day, this lets you do your job and encourages them to find their own solutions but will save them from wasting days/weeks.
Some interns have been spoon feed all their lives until this point and expect it to continue, make it clear that this isn't the case.