Look at all the pro's and con's of different types of leaders. Your frame may or may not come with leaders. Most new machines do come with leaders, but if you are purchasing a used frame - it may not have leaders, or as the case of the one I purchased - the leaders were old and needed to be replaced.
Regular leaders: you have to pin the quilt backing to the leader.
Zippered leaders: Each leader end has 1/2 of a zipper on it. You then take a second full zipper and sew/baste/pin it to the top and bottom edge of your quilt backing. You can then zip the quilt backing onto the leaders.
Red Snapper (or similar) leaders: The leaders have gadgets on them that "snap" onto the quilt backing.
Look at all the options, video's and reviews. I decided to make a set of leaders using pillow ticking (because it has straight of grain printed stripes making "straight" easy!), and added zippers to them.