Attach the Grid
When the glue has dried, set the grid inside the frame, then drive screws through the frame and into the ends of each grid strip, making sure that the front of the grid is flush with the front of the frame. Once the grid and frame are fully assembled, countersink all screws and nails, fill all fastener holes that will be visible with wood putty, and let it dry. Sand the entire assembly and then prime and paint it, or apply a couple of coats of clear wood finish or stain. Allow it to dry thoroughly.
Assemble the Headboard
Set the frame flat on the floor, with the grid side down. Carefully drop the panel into the frame. You want the panel to exert a little pressure against the grid, so that it appears that the upholstered pieces fluff out just a bit, but not so much as to bend the grid. When you feel that you have the right amount of pressure, either by pushing on the panel or having someone stand on it, drive screws or nails through the side of the frame into the support boards and the plywood.
Since this headboard will be resting on the floor and flush against the wall, you will probably have to trim a little wood from the bottom of the frame to fit over the baseboard. Carefully lift the headboard into place. When you are satisfied with the location, drive a few long screws through the frame and into the baseboard at the bottom, and through the top frame board into wall studs (use a stud finder to locate the studs). If the headboard feels a little loose, compress the panel enough to drive a few screws through the front (beneath a grid strip), through a support board and into a stud. If the grid feels loose against the panel, drive some small screws through the face and into the plywood backing, but take care not to drive the screws so far as to pull the grid too tightly into the panel. Fill and sand any remaining holes and touch up the paint.