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Step-by-step build — 4 steps. Also available as a print sheet.
Work from the top down. On a flat, level surface, attach the two footboard legs to the top 2x6 rail with two 2-1/2" screws per end — back edges flush. Use scrap 2x4 blocks as spacers to hold the lower rail at the right height while you attach it with two more screws per end. The scrap block is faster and more consistent than measuring the gap by tape each time.
Repeat the footboard sequence for the headboard, starting at the top rail and working down — but this end gets three rails instead of two, spaced with the same scrap-block method, which is what gives the headboard its taller, more finished profile.
Prefinish the headboard, footboard, and both siderails now — once the frame is assembled in the bedroom there's no good angle to reach the inside corners with a brush.
In the room, attach the siderails to the headboard and footboard legs with the 2-1/2" screws, keeping both ends level as you go. Space screws wide across the joint but stay about 3/4" back from any edge — this lumber splits if a screw lands too close to the end grain. Driving screws at a slight angle adds real holding strength over dead-straight ones.
Screw the 2x2 cleats to the inside face of both siderails with the longer screws, then lay the slats across the cleats and drive two of the shorter 1-5/8" screws through each slat into the cleat below.