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Step-by-step build — 10 steps. Also available as a print sheet.
Attach the longest 2x2 cleats to the longest 4x4 legs, flush to the back edge, with 2-1/2" self-tapping screws.
Lay out the 1x6 headboard panel boards flat, side by side, and measure their overall width. Cut two 1x4s to this measurement. Nail the panel boards to the 1x4s with glue, applying glue between each panel board as you go. Check the panel is square by measuring opposite diagonals (outside top corner of one 1x4 to outside bottom corner of the other) and adjusting until they match.
Attach the headboard panel to the 2x2 cleats on the legs with 2-1/2" screws, screwing only into the portions backed by the 1x4 frame. Also attach the panel to the 2x2s from the front with 1-1/4" brad nails.
Measure and cut the 2x4 top cap to fit and attach with 2-1/2" screws. Repeat with the 2x6 top trim, leaving a 1" overhang on all four sides. This completes the headboard.
Construct the footboard exactly as the headboard, except for the shorter 2x2 cleats on the back and the overall height. Attach the 2x2 cleats with 2-1/2" screws — predrill first, since the smaller cleat can split easily. Build the panel and attach to the cleats, then attach the top 2x4 and 2x6 the same way as the headboard.
Attach a 2x4 cleat to the footboard, set into the 2x2 cleats and resting on the bottom cleat, using 2-1/2" screws into the 4x4 legs. Mark and attach a matching 2x4 cleat to the headboard legs the same way.
Use 2-1/2" screws to attach the headboard tie-in support between the side-rail cleats.
Center legs add real support and strength to the bed. Attach the shorter 2x4 legs to the center support piece first, then place the assembled center support inside the bed and attach it to the footboard and headboard.
Measure and cut the 1x10 side rail trim to fit. Attach with 1-1/4" brad nails and glue. If the side rails need attaching at the top, small L brackets work well.
Cut the mattress slats from the remaining 2x4s and set them inside the bed with about a 1/2" gap between each slat. One screw into the side-rail cleat holds each slat, though extra screws into the center support add support.
Sand every surface and finish.