I just changed paper for the first time a week ago on my new 16-32 King which is probably the same machine as a Jet and likely has some of the same parts as yours. I had trouble figuring out the clip on the right side too. I had to get a mechanics mirror in there so I could see it. If the drum slot the paper goes in is facing more or less towards you then you have to get your finger down a ways under the whole mechanism and lift it up an inch or better until the slot in the clip is visible in the slot of the drum. There is a pretty good spring load on the clip and it's not that easy a job. Plus you have to manage to shove the paper into that clip at the very least an inch before it will grab while you are holding it. Another pair of hands to hold the drum and paper while you are fighting with that might help.
On my King it came with paper that was 3 1/16" wide and the replacement rolls are only 3" wide. Putting the new paper on while keeping the wraps tight together left a gap between the last wrap and the slot in the drum. The only way that I could make it work out was to leave a 1/16" gap between wraps to make up for the difference in paper width. I don't know if you'll have that problem but if you do it's the only solution I've found.
Someone I consider a master woodworker once told me that a master woodworker is not someone who never makes mistakes. He is someone who is able to cover them up so that no one can tell.