The first picture is both parts of the split nut - you can see the chamfered holes on the back (where the flat head Philips screws mount it to the sled) behind the steel pin.  The two holes on the right are where the aluminum fork (that the knob slides on) mounts on.  The single hole on the left is where the locking knob screws in.  Note that the aluminum piece on the bottom of the picture was just to provide support while taking the picture.

 

The fourth picture is just the threaded portion of the split nut showing the groove in it.  To cut the grooves, clamp both pieces together as if they were engaging the Acme screw (clamped in two directions) and drill a hole between the two blocks.  I thought of drilling a little smaller than the pin (to reduce any leftover slop) after I'd already done it.

 

I hope that's clearer; as I say it's frustratingly difficult to get good pictures of what is really a simple mod.