Yep, it's a wonderful feeling to be attached to one's bike. I like the secure feeling. That's funny that your feet bounced on the flat side until you clipped in without noticing. 50 years ago when I got my first set of real toe clips as described above, I was like, Wow, OMG, I can pedal, I'm a machine!!

You have them set to the lightest setting and find that you can just yank your foot out of the pedal if you panic. That's a good thing for now. However, as you get better at riding with them, you're going to want to pull up on the upstroke pedal when out of the saddle. With the pedals in their lightest setting, it will be possible to pull your foot out, which is not fun and could be dangerous. So be careful of that, and think about tightening them a little after a while.

I like my pedals set as light as practical also, so I experiment in safe settings and find where I can set them so I just can't pull out. Racers crank the screws all the way in so they can never pull out, but I never felt like I wanted to do that.