I started with just the balls(I can hear you laughing). Before I printed them I rotated them 180 degrees (upside down). This way you don't need supports. Printed separate from all the other parts.
Also, the hex opening in the ball looks like the size of the outer diameter of of the 5/16 nut, but I don't see how the nut can recess into the ball with that center channel that runs the full length of the ball. Are supposed to remove that center section(pink arrow in picture)?