Congrats on your eGo purchase, I love mine =)
You are correct in your guess that you'll have better luck with filling your own carts. The prepackaged ones are pretty lame... They get the job of breaking in your atty done though.
As BirdDog said the eGo uses a 510 fitting so anything that says it fits the 510 should work just fine with your eGo.
I also 2nd BirdDog on using cartomizers over carts, way more bang for your buck. With a cartomizer you don't need a mouthpiece like with a cart, as a cartomizer is a cart and atomizer in one. On the eGo a cartomizer makes it a little bit shorter so there will be less sticking out of the end of your cone piece.
As far as the lack of instructions go, keep in mind that e-cigarettes are almost exclusively manufactured overseas and they aren't really a huge mainstream item yet, so perhaps there is less confusion without the misleading broken in translation instructions that would most likely be included.