There are two screws; one on the right and one at the back. Use the bigger of the two supplied allen wrenches. The dial is the grooved wheel near the base of the support as you say. I have done this on the fly but always make sure you loosen the screws first esp. when you lower the arm as it could drop suddenly otherwise.
Adjusting the arm height in the VPI JMW 9
The manual says turn the dial. Is that the dial near the base of the arm support? The one with the grooved edge? It says to be sure to loosen the screws with the allen wrench provided. Where are these screws? in the small holes? Why does the instruction manual have no picture of this?