I have tried bicycle clips to hold my quilt roll when machine quilting, but didn't find they work well. I prefer to just loosely accordion pleat the quilt underneath the arm of the machine -- not only cheaper, but works better!
Water-soluble thread dissolves in the wash. I have used it for machine trapunto work. Basically you machine-quilt your top using a thick batting with water-soluble thread as a first step. Then you turn over the quilt top (no backing) and cut away excess batting near your sewing lines. This leaves batting only in the "stuffed" areas of your design. You then layer your top normally with regular batting and quilt with regular thread. When you wash your quilt, the water-soluble thread dissolves and you see only your regular machine quilting lines.
You can also use water-soluble thread to machine baste your quilt sandwich together. It is less work to spray-baste a quilt sandwich together, though, so I don't think many people use the thread this way.