Mark,
What I do, is remove the ball return tubes. (Oh, work over a big cookie pan or something just in the rare case that you should drop one of the balls while doing this )
Then, drop the balls into the ball nut (with the screw lined up) one at a time, and push them into the ball track with a plastic straw. What works good is that red extension straw from a can of WD40. All you want to do, is push the balls down so they contact without leaving a big gap, which may happen if you try to "roll them all in". Once you have a full wrap of the screw completed, it will become kind of self supporting, and then you can slowly roll the screw a bit as you drop in each ball. Still, you might want to "tamp them" with the plastic straw.
Then, grease a few of the balls, and put them into the ball return tube until it is nearly full. Then, push the ball return tube into position and clamp it.
I'd recommend that you use large ball-small ball-large ball as you assemble the ball nut. The small ball serves as a spacer to help keep the large balls from jamming against one another, should you happen to actually achieve a measure of preload.
First you get good, then you get fast. Then grouchiness sets in.
(Note: The opinions expressed in this post are my own and are not necessarily those of CNCzone and its management)