to be a little more specific you need as stated a Published Project and a Project that has a SharePoint Server created site. you can achieve this better by creating the initial Project it Project Web App this automatically sets one up for you. you then need to open up the project in Desk-Top Pro and visit Task Tab deliverables sub-tab on mine its to the far right. the dropdown allows a few options. BUT YOU need access rights to the Web App project site. whilst you created the project correctly and SharePoint created the site for you, you don’t autmagically get access. took me a while to prod and poke.
you can also add Deliverables from Web APP again with appropriate access permissions. open the Project in Web APP and if you have set up the left hand menu structure you will see Project Site under Project Details. if you don’t see it get the appropriate access. go to the Project Site and again if the left hand menu is set up you will see Deliverables ; Risks ; Issues.
took a while to find them —when is MS going to put a decent manual together???