Putting the instructions on the Thank You page is a great idea. Here's one suggestion you can adapt for your business (change the "myemail@mycompany.com" with the verified email address you are using in ONTRAPORT):
Thank you for subscribing!
You should receive the first email in a few minutes. Look for it in your Promotions folder if you don't see it in the next 15 minutes.
To make sure you receive each copy use that initial email to teach your email provider (even if it ends up in the “spam” folder the first time). Here's how:
Gmail
Click on the little down-pointing-triangle-arrow next to “reply.”
Click “Add to contacts list”
Outlook 2007
Right-click on the email you received (in the list of emails)
Click Junk E-mail
Click Add Sender to Safe Senders List
Outlook 2010
Click the Home tab
Click Junk
Click Junk E-mail Options
Click Safe Senders
Click Add
Enter myemail@mycompany.com and additional information if you wish
Click OK
AOL Mail
Click Contacts in the right toolbar.
Click Add Contact.
Enter myemail@mycompany.com
Click Add Contact button
Yahoo! Mail
Open the email message from the sender you want to add to your address book
Click Add to contacts next to myemail@mycompany.com
On the Add Contact popup, add additional information if needed
Click Save