OK, you've been at it long enough that I'm comfortable correcting you on this. Those are magazines. Clips hold the cartridges and make it easier to insert them into magazines. A magazine can be detachable, like on your H&K, or a part of the gun like on an M1 Garand or a Remington 870. On a Garand you would use a clip to load the magazine because it's much easier that way. With the 870 you would just move the forend grip forward and insert the shells into the tube magazine. Hope that helps.
Wayne is right about getting a 22, but if you're like me you'll have too much fun shooting the HK to worry about that for a few months. Perfectly normal, don't let it bother you. Eventually you'll get tired of paying for 9mm and think "Hey, those guys at TFL said something about that..."
I probably shoot about 5 times as much 22 as 9mm now but I still shoot the 9 regularly too.
Nice purchase by the way! Enjoy.