alexh,
The way the finishing makes the most sense to me(and the way I do it) is:
1) Install all your paint grade material first. Leave treads off. Prime and paint your risers and skirts, filling and caulking after priming. Of course do any sanding prior to priming.
2) Prefinish your treads and cove molding prior to installing but after you have cut them to fit. Speaking of cove mold, with a 1" return, I think I'd prefer to use a scotia mold instead. Looks similar but instead of a 3/4" x 3/4" molding, it's a 1/2" x 3/4". Looks better!
3) Now install your treads and putty the holes. Sand the putty flush and put a small amount of the sealer you used on the putty only. Next, lightly sand your treads and apply a final coat of finish. After that is cured/dry, you can install your scotia or cove. Or you can install the cove before your final coat, either way. Touch up paint as needed! Your done!
Now for the railing and balusters!!!!!!!!!!!!!!!!!!