It's best to use a walking foot and yes, you do remove the pins as you come to them.
I have found that accordion-pleating works better than rolling for fitting the quilt under the arm of the machine. Just make loose accordion-type pleats the height of the space and don't worry about securing them.
I prefer to start at one side of the quilt and work to the other side so that there are no loose ends to bury, but this won't work with all patterns. There are two different ways to secure threads if you have to being or end in the middle of the quilt. One way is as mentioned -- making several tiny stitches in a row almost in place. The other is to hand-weave the threads into the quilt after you are done. There may be a tutorial on this on the website; it's best to use a side-loading hand needle (so you don't have to thread an eye) for this method.
Bringing the bobbin thread up means that, when you are starting a line of stitching, you make just one stitch first and then raise the presser foot and tug on the top thread to bring the bobbin thread up. You secure both threads together on your finger before lowering the presser foot and starting to quilt. This ensures that the bobbin thread does not create a thread nest underneath or get tangled up in the first few inches of quilting.
You might want to secure your magazines and place some vinyl over them to make a smoother surface. See this Youtube video on how to create a good surface for machine quilting:
http://www.youtube.com/watch?v=g14govA4pIM
The vinyl is very inexpensive at Walmart.