Chris has a really, *really* useful writeup on and on the DP wiki, but the basic version is that you'll need to create each stat during worldspawn with an AddStat (STAT_INDEX, stat_type (1: string / 2: float / 8: integer), .your_stat_field_here) call for each new stat.
That said, by default the server will send STAT_NAILS (index 7) along with all the other basic stats, you don't have to send them manually. :)