Natalia Tena (Tonks) recently participated in a phone interview with one of her fansites, in which she talks about, amongst other things, Order of the Phoenix & Deathly Hallows. It's 45 minutes long and can be downloaded here.

In particular she talks about what it was like hanging out on set with George Harris (Kingsley) and Brendan Gleeson (Moody), and waiting in her trailer between scenes and discusses the progression of her character in the last book.

Note: The interview does contain mature language.