In the video I use the 'Available' keying set.  But remember that it will only set keys on the channels that already have keys on them (ie - that are available).  So you need to key the channels you need first, then you are ready to rock n roll with the 'Available'.

Are you using Z to Keyframe? With this Rig you'll need to key Y for the up and down movement. I also totally forgot.

Thanks Wayne and Carolyn. Yes, it was because I'd assumed the local bone location to be the same as the global location - so I was setting keyframes in the wrong axis! :-/  All ok now, thanks! :-)