Boy, its been so long I am not sure I remember exactly what I did. Hopefully, someone else will chime in to confirm or correct my recollection, but I know I did use the rope caulk. I had several spare side trim pieces and they all had remnants of the caulk on them. Most were black, rather than the gray sold at hardware stores, but it was definitely there. I also used the caulk underneath the frame, and think I used the whole width of the piece to make it just a little smaller than the vinyl trim. I reused the rubber end pieces, with a little caulk under those as well, but buying new would probably be a good idea.
I see you bought the adjustable nuts from SS. Good move! Sure wish I'd done that. It might be a good idea to adjust those high to begin with, so that you are tightening them as you adjust the frame. That way you will be compressing the caulk under the ends as you go, which should help insure a weather-tight fit.
Good luck.