To wind my secondary, I put together a little jig that let the secondary form spin freely. Then, I set things up so that the jig was on the workbench, and the reel with the magnet wire was lying sideways on the floor. I started off by taping the magnet wire to the bottom of the secondary form, leaving a few feet for the ground connection. Then, I had my father spin the secondary form, while I used my right hand to keep some tension on the wire and my left hand to guide the turns onto the form. Initially, we tried using a portable drill to spin the form, but it was just too fast to do a good job of the winding. Once I had wound on the correct length of wire, I taped down the end and cut the excess wire, leaving enough to go up to the toroid.
Occasionally we had to go back slowly to undo a crossed turn, but as long as you keep up a steady tension, I found that the turns stayed close together and went onto the form with surprisingly little effort. We put on a bit of tape every few inches, just in case I let up the tension and the wire sprung off the form. It was also pretty quick to wind: from memory, it took only about 30-45 minutes for a 4" x 20" winding (22AWG wire).
Once you're done with the winding, you'll want to seal the winding: I used four coats of polyurethane gloss varnish and haven't yet encountered any problems with corona, turn-to-turn shorts, or breakout from the middle of the coil. You can use the same jig that was used to wind the coil to apply the varnish. To avoid runs in the varnish, you might want to try using thinner coats and/or rotating the coil while it is drying.
As for using RF chokes to protect your NSTs, the general consensus these days is that they sometimes do more harm than good, building up kickbacks that can fry the insulation on the NST secondary. Most people use some form of RC filter these days, such as the Terry Fritz filter:
http://hot-streamer.com/TeslaCoils/Misc/NSTFilt.jpg
Having said that, I don't use any filter at all :-) I wouldn't mind building one of these filters, but the parts (especially the ceramic 100W resistors) are pretty hard to find in Australia. At the moment, I just use safety gaps set so that they only _just_ don't fire with the NST connected and nothing else. No barbequed NSTs so far (touch wood...)
To tune the coil, you use a movable tap on the primary, which is (usually) connected to one end of the tank capacitor. It's probably best to start off by typing your coil specs into a Tesla coil calculator like this one:
http://www.classictesla.com/java/javatc.html
This should give you a rough estimate of where to start tapping the primary. I did this, with the spark gap closed down to about half its normal width (you don't want to be running at full voltage when the coil is possibly out of tune -- it's easy to damage NSTs this way). If you are using a smooth and/or large toroid with a small coil like I first did, you will probably need a breakout point on the toroid to encourage sparks to form (I used a thumb tack stuck to the side of the toroid). Try powering up the coil for no more than a second or so each time, moving the tap a full turn in or out after each test (remember to discharge the capacitor first!) As you near the ideal tuning point, you will see a sharp increase in streamer length. You can then fine tune by half and maybe even quarter turns until you have the longest sparks. Finally, you can open up the spark gap again (about 1/4" for a 15kV NST, narrower for lower voltage transformers).
