Go to the "Assignments" menu and select "Import Assignments...". Import the de0-nano/rgbmatrix-fpga.qsf file. After you do this, a message should appear in the "System" console tab at the bottom of Quartus: "Import completed. 14 assignments were written (of of 14 read)."
You may want to use female-female jumper wires to make the connections between the IDC pins!