As I wasn't able to open the nursery I have some significant losses which I should record somewhere
Are there any advantages/disadvantages to putting them on my Self Assessment - I didn't break even any way this year (07/08) so would it make thinks better or worse or be irrelevant to record them here?
For income tax purposes you should take a deduction for any pretrading expenditure on the first day that the trade commences. So in this instance as the nursery didn't open then you wouldn't record it on your SA yet. However definitely keep a record of what the expenditure is in the event that you do open the nurserylater.
What sort of costs are you looking at? IIRC you had a member of staff working on it, so I would have thought that you would still get a deduction there. But a lot of the architects stuff etc would be capital in nature.
Any costs relating to building/refurbishment work at the new building cannot be claimed as either a revenue expense (because they are not revenue expense items for your business) or as a capital expense (because capital allowances are only given for an asset that is put into use).
Whether any other costs relating to the nursery can be reclaimed depends on whether the nursery was intended to be an expension of your existing business, in which case they can, or a new business, in which case they can't. So advertising would be OK, and also probably the 'accounts' you refer to (what accounts costs did you incur for the nursery before you opened?).
If you have made a loss this year, you can use this to reduce last year's profits so that you get a refund of the some of the tax you paid last year - there is a box on the Self Employment SA form for this.