I'm afraid the suggestion to 'Always round down' is poor advice, and as pointed out by Afnug, is not what Roger Musson describes.
My latest wheel build came out good, based on the following:
Calculated Actual Wheel
265.3 266 Front
263.8 264 RDS
265.4 266 RNDS
There is no way that I would round down more than 1mm, so in my case I must round up, but by less than 1mm.
I used spocalc express and the Roger Musson measuring method, with the end of the spoke threads level with the bottom of the nipple slot, as should be done. My measurements are very accurate, as I measure both rims, take 16 measurements (32 holes) from each rim and average the results.
I also follow Roger Musson..... I guess Yellow Saddle must be wondering who the hell is this Roger Musson that keeps coming up in nearly every thread

Well, Roger Musson is a guy who spent many years building mainly MTB wheels and he used to support riders in down hill competitions. He has a Engineering background and he wrote a book on how to build wheels, from the practical point of view. He does mention things like stress relieving but not in the way Jobs Brandt does. The important thing for a beginner to understand is that something like stress relieving is important in the process of wheel building and at that stage the beginner doesn't need any more information. Jobs Brandt book can be a bit overwhelming with too much information for a beginner I think. Undoubtedly it is a great book but, for me at least, it was too much to start building wheels

not patient enough I guess, I just wanted to get on with it and build a wheel. The second part of JB book is the practical part and if I'm honest I think RM book is better in that aspect.
Now, going back to the point I wanted to make before I tried to explain a little bit who Roger Musson is.
I don't have RM book here with me but I'm pretty sure he would have rounded off more like this:
265.3 266 Front - down to 265 and up to 266 if no spokes found in 265
263.8 264 RDS - down to 263 if no spokes found in 264
265.4 266 RNDS - down to 265 and up to 266 if no spokes found in 265
Well, then, explain why it is poor advice and tell me when it is OK to round up.
Telling me that so-and-so says so is not a good enough argument. You have to find a flaw in my reasoning. The actual spoke calculator is irrelevant in the matter, it is an understanding of how much a spoke stretches at 1000N of tension, that dictates the starting length and last time I looked, not a single spoke went shorter under tension.
I have followed RM advise and used RM spoke calculator for over 200 wheels and it has been spot on. I guess RM allows for the spoke stretching under tension. He does say that the lengths of his spoke calculator should be treated as a maximum and not to round up or down more than 1mm, So faced with something like 265.6 then down to 265 but a 265.7 up to 266 BUT as you know, sometimes you just cannot find the correct spoke length so 265 or 266 is fine. If I had to choose a spoke because 265 and 266 aren't available then I would go with a 264 rather than 267. I would need to alter the first stage of the building process slightly but I would be fine.