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Here's a picture with the headstock removed. You'll want to completely remove the indicated screw and pop off the plastic cover on the front. Bigger...

You'll also want to completely remove this screw from the bottom. Bigger...

This is what the leadscrew support looks like once it's been removed. It's oriented here with the curved opening facing down, which is how it faces when it's installed. Bigger...

Here we can see the fixed shaft on the left and the sliding shaft on the right, in the orientation that they'll go into the leadscrew support, which you can just see on the right of the picture. Bigger...

After inserting the fixed and sliding shafts into the leadscrew support they should rotate with no binding. Be careful - The pin coming out of the end of the fixed shaft (which is the natural thing to grab onto) can have sharp edges. Mine had some binding. I took some 600 grit sandpaper, wrapped it around the fixed shaft and twisted the fixed shaft back and forth a few times. Burrs (indicated by the arrow) immediately became obvious. I filed these down, and the binding disappeared. I didn't have any problems with the sliding shaft, but you should check yours.

The screws from the top and bottom fit in the big square groove. This allows the fixed shaft to rotate freely, but not to slide in and out of the leadscrew support. Bigger...

Both shafts are inserted into the leadscrew support and almost in the correct location. Bigger...

Looking through one of the screw holes in the leadscrew support, check to see if the groove in the fixed shaft is lined up with the screw hole. Here, the fixed shaft is too far to the left. Bigger...

Here, it's a bit too far to the right. Bigger...

And here's its in the correct position. Bigger...

This is about where the sliding shaft should be when the fixed shaft is in the correct position.

Carefully insert the leadscrew support back into the lathe base, with the curved portion pointing down. Put the screws back in. The engagement lever should slide in throught the hole in the front of the base and engage with "bump" on the sliding shaft. Bigger...

Here's another view. Bigger...

After installing the "permanent" portion of the threading attachment, I had some troubles tightening and loosening the drawbolt in the headstock. I removed the drawbolt to discover this. Bigger...

Here's the guilty party (well, all right it was really my fault for not stopping sooner when I encountered resistance). Bigger...

I trimmed the length of the screw by half, so that none of the screw actually projected into the hollow portion of the spindle. Bigger...