I wish these pictures came in the instructions for the Cricut. This would have saved me many minutes of frustration. Just in case there are others who may have the same issue, I took pictures once I figured it out. I found these instructions for adjusting the blade depth which require you to remove the assembly. (but no instructions for initial installation)
Here are Cricut's instructions (page 14 of the manual) with my pictures:
To remove the cutting blade assembly, locate the thumbscrew and turn it counterclockwise until it loosens enough that you can swing the thumbscrew to the right. Be careful not to loosen the screw too much or it will fall out.
Once you get it open, insert the green blade assembly as shown. Close the arm and tighten the thumbscrew around it.
Now that you know how to do insert it, you are supposed to remove it when you need to adjust it. Page 15 of the manual has two charts for speed adjustment and pressure adjustment. It makes sense that you would need to adjust it based on the thickness of the paper or card stock. My Gingerwood friends also gave me tips on speed and pressure. Susan posted a chart that she keeps taped to the Cricut for easy access.
I would benefit for a "Cricut for Dummies" book. I'll add more tips as time permits and I figure things out.