Chad,
Take a few minutes to re-read the instructions so that you refer to the correct parts by their correct names.
These aileron control things on the wings
the threaded metal things
It's really hard for people here on RCU to answer your questions if we don't know what you are talking about. I think I'm pretty sure the "threaded metal things" are called screws. Those should be use to mount the control horns on the control surfaces. Mark where you want your control horn to be mounted, drill the holes for the screws to pass through the control surface, put a couple of drops of thin CA into each hole to harden the wood, let the CA dry thourghly, then mount your control horn.
But i think i will switch to control horns if possible.
I don't understand this statement. The control horns should have come in the kit for the plane. I haven't built a 4* but I'll bet this months paycheck that control horns were included in the kit for you. Sig does a pretty good job of putting good hardware in their kits, you shouldn't need to replace the control horns that came with the kit. If what Bruce pointed out that you are using torque rods, you're not going to be able to switch to control horns unless you convert the plane to dual ailerons servos, with the servos mounted on the wings