Did you get a video with the frame? If not give the Grace Co. a phone call and ask for it. I had a missing piece when I got my hand quilting frame and gave them a call. The gal who was helping me asked if I'd received the dvd. When I answered in the negative she added that to my list. I received the replacement part and dvd in a very short time.
The dvd was very helpful in learning how to put the leader clothes into the frame. It then gave very clear directions for loading the quilt parts. They recommended the flat headed flower pins to attach the quilt to the leader clothes for hand quilting.
The Grace Co. are very helpful. They have a good reputation and are working hard to keep it that way! Give them a call, I'm sure they will be happy to answer any questions you have (if you don't get them answered here!)