I bought the little garcie II and they do need the leader cloths. I also bought the fourth rail for the batting adn a few other upgrades.
Anyway, I was confused at one point about putting it together and called the Grace company. They sent me a free video that has lots of helpful information on it. I got mine the same as you the sew and vac on line shopping site. They were very fast getting it up to me within four days!
They are made of muslin.
Oh, did you get the Quilt Cad program with it? I sure have enjoyed using it to figure out my designs to quilt the tops. A little tricky at first, but it prints out the templets nice.