I just use long pins with a head. (quilting pins?) As I roll, I take the pins out along the sides so that I don't stab myself, which would cause blood, pain and sadness. It's still attached securely on the ends. I have the 'gator clips for the sides, and use them for larger projects.
Now you have given me an idea. Use ugly cloth #1 for baby quilts for the leader fabric; Ugly cloth #2 for double size leader fabric, etc. That would keep it all seperated and organized. And who of us doesn't have some ugly cloth that was purchased long ago when we were in an altered state of alertness!
I've never had problem with the tension. It is a snap! If you are worried, start with a baby quilt and your confidence will g-r-o-w !! Sara