Henry has some good ideas. Here are some others to keep in mind: Use construction adhesive between every wood to wood contact to completely prevent squeaks; Don't use more than two nails in the ends of the boards (this hold true for almost every piece of wood in carpentry - two nails hold the board and allow for shrinking and swelling - more than two nails and the board may crack at its end; Don't put in the wood filler until AFTER your first coat of urathane.
Most importantly, nailing your stair pieces together is almost the LAST step. Make doubly sure that everything fits before nailing it home. I always dry fit the entire stairway before getting out the nails.