1) You should definitely create a passphrase for your private key (you should only be asked to unlock it once due to ssh-agent). Otherwise if someone gets hold of your private key they can login to any machine you have set up an authorized_keys entry on.
2) use ssh-copy-id to install your public key on a remote (and fix up the permissions on ~/.ssh etc. which for me is the #1 case of key based login not working).