Next, you'll need to mark out and drill all the holes for the T-nuts in the plywood (either on a grid pattern, or totally randomly, if you like). Be sure to take into account where the supporting studs will lie, as you won't want to install any T-nuts in those places. Use a spade bit (Forstner bit, for you tool lovers) to drill the holes, and take care to get them straight and clean. Working from the back of the sheet, press the T-nuts into every hole, seating them firmly with a mallet or hammer. At the bottom of the wall, you can skip the T-nuts and screw on small footholds later, as the placement and size of those tend to be less critical than farther up the wall.
Attach the plywood sheets to the frame (which should already be securely fastened to the house frame) using plenty of deck screws (recommended distance is 6 inches apart), and if you've got multiple sheets, make sure that the edge of each is butted tightly against the next, and screwed tightly to the frame.
Once your bouldering wall is securely attached to the frame, you can go ahead and install your climbing holds. However, if you want a more realistic climbing experience, or it's going to be installed outdoors (or you want it to match the color of your favorite climbing shoes), paint it before you install the holds. You can either go with a specialized textured paint, or try a DIY solution, such as a thin coating of a mixture of latex paint, wood glue, and fine sand.