Where do I pull to tighten the second ring down? I keep ending up with a large loop of thread I can't get rid of.

Grab your work by the last stitch you made, and try not to pinch it too tight. If you are unable to advance the thread any further and you still have slack, gently work the thread back out to widen the ring and check your stitches for mistakes, and your thread for knots. Sometimes, a ring will not close because the thread was twisted as you worked, which would cause it to kink up as you tightened the ring. Just keep working the thread slowly into the ring, loosening kinks as you find them. You may have to back and forth a few times, but keep at it.