I never found any "step by step" instructions, but built mine by looking at the pictures of others builds. I built the base first, then the gantry, and finally the Z assembly. The biggest piece of advice is to take your time on the bearing slides and get them right on. The more accurately they are made the better the machine will run.
I skipped the all thread and went with acme rod from the start. Better to spend a little more now and not have to tear it apart in a few months to upgrade then. I also didn't bother trying to tap the mdf, just go with longer bolts and go through to the other side and use a washer and nut.
If you plan on going bigger in the future buy the electronics now to run that machine. I built mine over the winter and I have already started on a Joe 2006. I planed on going to a bigger machine to start with so I spent a few extra bucks to buy bigger motors and a larger power supply so I could reuse them on the next machine.