I've recently bought a High Level kit of the Neilson 0-4-0 and have come to the conclusion that you are the only modeller on the entire planet who's published his experiences of building the kit on the internet! I have, therefore, devoured every word of your write-up and approach you for a little advice before commencing construction of my own version.
My first and more mundane question concerns the wheels. High Level simply offer a Sharman Wheels reference number which, with Sharman Wheels having ceased trading, is obviously now meaningless. I think the wheels should be 14mm/3'6" diameter. Am I right?
My second question is about the cylinder assembly. You comment on the need to anneal the cylinder wrappers and say that if you were doing it again you'd do it a different way. So how would you do it?
I am in the final stages of not-quite-abandoning/having-a-break-from a particularly nasty Peter K kit of a 'K' Class Manning Wardle that, amongst many shortcomings, was etched from brass that was far too hard to dimple out the rivets in the usual way. The only reason I've got as far with it as I have is because I was given a crash-course in annealing (By Chris Gibbon of High Level, ironically enough) so total avoidance of annealing with the Neilson's cylinder wrappers will (hopefully) not be necessary.
Well it was a long while ago (2006 I was amazed to spot) when I built the loco but he goes:
Wheels - I used Romfords rather than Sharman. 14mm sounds about right to me (the loco isn't handy to measure) but a quick call to Mr Gibbons would probably get the answer. I recall that there is a plan in the instructions so perhaps you could measure this ? If you are working in OO I can't see any reason to use anything other than Romfords unless you need a weird wheel. As someone who is hopeless at making chassis, I like to be able to put them on and take them off again a few times in the process.
Cylinders - Reading the entry I didn't bother to anneal the wrappers which made them difficult to bend around the formers. Either anneal them or replace with thinner metal. Proper advice is the former but sometimes it is tempting to do the later when a trip down to the gas hob in the kitchen seems like too much effort...
Hope this helps. Don't be put off by the Peter K kit. His models are notoriously for the more advanced modeller, but fill a gap in the market. I have a Furness engine from him tucked away in the "oneday" box. It looks a bit scary but I reckon I could manage it, but then it will have been a long while from purchase to building !