This is a common issue with brand new Thermolds.  The feedlips are slightly too close together, so the bolt doesn't ride smoothly between them when empty.  The feedlips will spread a bit when loaded, so don't worry about it.

DON'T CHAMBER LIVE ROUNDS AT HOME, as doing so could cause a round to fire (rare, but it CAN happen!).

Just take it to the range with you and use it a few times, and all should be fine.  The bolt may scrape off a bit of material from the feedlips at first, but that's it.

-Troy