I stitch the top, and then I stitch the sides as I go(with each roll). It is really just a matter of preference. I tried several different methods before I decided what worked best for me. If you google Youtube-Loading a quilt there are several different videos available.
I don't have leadergrips, but this guy is kind of fun to watch and gives some really good information.
http://www.youtube.com/user/TheManqu.../7/oMcbeVBZ-9g