Running the water cooled torch without water is always a bad plan, that is really old info from a different torch manufacturer that keeps haunting Everlast. While it won't hurt the torch that much, it will destroy the power cable in short order. You will know if you did because water will leak all over the place.
For the argon clamp, you can always use a small bit of stainless safety wire to clamp the hose, or an auto parts store will have small crimp type emissions system hose clamps.
Long arc, short arc, heliarc and in-the-dark!