The only issue with the above outlined process is that you now have a totally unencrypted private key laying around your hard drive, which is a security risk. So you should not always use this method of no password on the key, depending on other security factors, such as if your home directory is on an NFS exported directory within a large network, thus more vulnerable to attack.
Consider using ssh-agent. You can read about it in the online man or
www.openssh.org. In this case, you supply a password when you generate your keys. I.e., when you do the
ssh-keygen -t rsa command, don't simply hit enter twice, but actually enter a password when it prompts you for one. This will encrypt your private key, and to be able to use it you need to specify the password. But here is the cool thing: with ssh-agent, you only need to enter the password once per login session, and ssh-agent lets you reuse the key with no pawword authentication for the rest of that session. Thus you enter the key's password once, and then you can do ssh, scp, and sftp without any password authentication whatsoever.
(The entire process is real easy to do. For step by step instructions, see
http://www.cc.gatech.edu/cns/software/ssh-agent.html.)