HaHa!!! Yes, when I got my short arm and frame I was surprised at how long it takes to load the quilt onto the frame. But then the fun comes with the quilting...without struggling with rolling and rolling and stuffing a quilt inside a domestic machine throat.
I think it's a great trade off. And after a few quilts you get so you can load one pretty quickly. Just another part of the process. And like others said, it doesn't take as long as pinning or basting.