Ok, there's a few things that need adjustment on that fence when you first get it (this is all described in the manual, at least it was). Skip to Rails if you're happy with the way it works. Otherwise, here's everything I can think of about that fence.

Inspect

Check the metal finger on the far end for any burrs that might be digging into the back rail. A little sandpaper wouldn't hurt. Check the inside of the cast iron part for burrs that might scratch the front rail. Make sure all the cosmoline is removed (the oily gunk Grizzly coats things with) from the rails (shouldn't be any) and inside the cast iron part of the fence. Mineral spirits, xlyene, degreaser, whatever.

Adjustments

First, there are two grippers - the one on your side, and the one on the far side. You want the one on the near side to grip first. The big screw-looking thing at the top of the end near you controls this. For now, unscrew it enough that the far end just doesn't grip at all.

Ok, now clamp it down about 4-5 inches from one of your miter slots. The side near you should be the only thing holding it.

Measure how parallel it is - measure slot-to-fence on your end, and slot-to-fence on the other end. If it's not parallel, loosen the two bolts on the top near your end, and make it parallel, then tighten them. Release the clamp lever and reclamp, make sure it clamps up parallel. Repeat until you get it right.

Now, to adjust the big screw-looking thing. Clamp down the lever all the way. With a screwdriver, screw in the big screw-looking thing just until you can't wiggle the other end with your hand. Give it an extra half turn or so.

Now, if all is well, you should be able to slide it freely when the level is unclamped, and do this to clamp it:

Clamp the lever down just enough for the end near you to grip. It should straighten the fence when it does. Clamp a little more, and the far end grips a bit. Measure slot-to-fence at your end. Measure the far end, tap it until it's parallel. Clamp the lever the rest of the way.

Rails

Ok, there's a couple things that affect the rails. Yes, I paste waxed mine, but only recently, and it smoothened it a bit but the fence did move easily before that. Mine pretty much coasts a bit if I let go of it.

Remove the fence and look inside the cast iron part. There's the metal cam that the lever screws into, and there's a second metal bit that goes between the cam and the rail. There should be a bolt and lock nut between the two metal bits that controls the grab. Make sure when the level is all the way released, there's enough gap to clear the rails. Not too much gap or it won't lock to the rails when you clamp the lever down.

Make sure the allen screw that keys the microadjust is set properly. It should not be tight - it rides in a groove in the microadjust shaft, so that the microadjust is normally pushed out by the spring and isn't engaged with the rail, but you can push it in easily and microadjust. If the allen screw is too tight, it might not be releasing the microadjust properly. Too lose, and the microadjust falls out.

Normal Use

When I set the fence, I usually microadjust it while measuring from the blade to the fence. When it's where I want it, I note the distance to one of the miter slots. Then I lightly clamp it, and microadjust so that my end is the right distance from the miter slot. Then I tap the far end until it's the right distance from the miter slot (if needed). Then I clamp it the rest of the way. Just takes a few seconds.