I just got a great deal on a used SP-404 this weekend...the price was an offer i couldn't refuse: 170 w/ 1 gig card and a full year warranty.

I'm starting to feel my way through this sampler, but the one question that's been nagging me relates to effect grab. As I understand it, its a button for quickly dropping an effect in and out of a mix (i.e. a dub delay). I've tried using it the way the manual says, but when it hit the fx grab button after priming the effect, the effect by the display lights up, but nothing is heard on my samples. Any ideas here?

It works the other way around - you hold the fx grab button and THEN press the fx button you want.

At least the manual says so on page 18
It works the same on the SP-404SX too, so I can confirm that at least.

Also make sure the pad is sensitive to an FX by pressing and holding the [remain] button. Most of the time an FX will affect the last pressed pad, but if you want it to affect more pads or different pads, then that's possible as well.