In your configuration (Magento Admin Panel -> System -> Configuration | eMarketing) under the section Email you can choose SendGrid as a transporter. You will be asked for your username and password. The extension will try to connect to your system via SMTP.
You can also define Categories for your setup and/or add your campaign tags as categories.
Add unique arguments will also add recipient based information, such as campaign id, recipient id, variation id.
If everything works you should get a success message after you have saved your changes.