Chris,
Definitively use the clamp style on your small lathes or you will b*****r the headstock bearings in no time at all. The plain 'feed in' style apply enormous radial forces where as the clamp style mainly contain the stress within the clamp arrangement.
As for constant adjustment, I've seen pages written on the correct mathematical relationship between blank diameter, knurl diameter and depth, but in practice over more years than I care to remember I've adopted the following with excellent results: set lathe rotating very slowly, bring the clamp knurl over the work so that the knurl centres are in line with the stock centre. Slowly adjust the clamp until the knurl starts to form then traverse the width of the work by hand, re-traverse several times tightening the knurl as you go until you have the depth you want. If hard stock use copious oil. Takes far longer to write than do!