Hi Retro... I use my walking foot all the time and not just on quilts. Lately I have been using them on my flip flop tote bags that I sell. Where I am sewing over multiple layers of fabrics and batting, that foot really helps to keep all my fabric evenly sewn and not puckering
Depending on your machine and foot, here is how it is assembled. Take a look at your walking foot. You will notice that you will more than likely have to unscrew the foot you have on your machine now, including the ankle. Align your walking foot so that you can screw it on your machine like your other feet with the ankle.
Now here is the important part. On the right of your walking foot you will see one of two things. Your walking foot will either have ONE arm, OR it will have TWO arms with a groove between it. If you have the foot with ONE arm, then that arm has to go over the screw that keeps your needle in your machine. If you have the TWO arm with the groove, then you need to position the arm so that one arm is over your needle screw and one is below it. (Basically the needle screw is tucked in between the two arms. I have a Husqvarna machine and that is how I put my foot on. If you don't have the arms where they are suppose to be, your foot will not work properly.
You will notice that the your walking foot has a moveable set of feet dogs, this works along with the feet dogs on your machine to guide the quilt evenly without puckers.
If this is your first time machine quilting, I would recommend that you don't do too much quilting where you have to twist and turn your quilt every few seconds to go around a curve or tiny blocks. Find a way to sew as many long straight stitches as you can. This will help you to get use to your machine quilting and give you better practice. Like hand quilting (my biggest love), it is always good to start your quilting in the center of your quilt. When you start your quilting, be sure to leave long tails of thread at the beginning and end. After you quilt it all you can then go back to thread those tails between the layers of the quilt. That way you won't have any backstitching marks.
I hope I didn't confuse you too too much. Perhaps if you need a visual, see about doing a search on Google, but use the Images feature instead of the web feature!!
I am adding a couple of images here. Take a peek at them... You can see (barely) how the arm I was talking about earlier is placed on this machine. This to me looks like a one arm and is over her needle screw.
http://static.howstuffworks.com/gif/machine-quilting-1.jpg
I just did a google search "attaching a quilting foot" using the imaging feature. This is one of the images I found that had the two arm quilting foot. See how the two white arms are hugging around the needle screw.
http://www.brother-usa.com/usaimages/AccessoryImages/Large/sa132.jpg
I hope this helps :)
I hope we get to see a photo of your finished quilt when you have it all quilted!!! :)
Cheers!