First of all, the Anakin and Obi-Wan are amazing when you put them together. They are literally the centerpiece on my coffee table right now. Easily the best Unleashed that have ever been done when combined. Even my mother who came by for a visit was saying how great they looked.
As for your situation, Beth, I'm going to try to explain this the best I can (although it's very difficult to do without pictures):
Regarding Anakin's "lava" attachments, there is a very strange way to do things that isn't even made clear by the packaging or any photos I have seen.
The two lava pieces themselves fit together by inserting a peg on the back of the right piece (the one that angles left over Anakin's right shoulder) into a hole near the top of the left piece (the one that angles over his left shoulder). Also, near the base of the right piece, there is a square peg that fits into a square slot at the base of the left piece. This makes the lava into one big piece of, well, lava.

The lava fits onto the base like this: take the side of the base with the three little designs (the opposite side has two and is the side with the hole for Anakin's foot near it) and the square hole and face it toward you: this is the front. The right lava piece slides (obviously) into the hole on the top of the base. The left lava piece slides into the hole on the front of the base. You may need to connect the lava in the method I mentioned above first to do this, but it's fairly easy to do either way.
Once you have the base assembled for Anakin, you slide his metal foot peg into the hole on the base, and there is a peg on the left lava flow that fits into a hole in his back on his belt. His foot will then sit directly to the left of the left lava piece and will make it a whole lot more stable (and realistic, as otherwise he'd burn his foot clean off).

Finally, the two bases (Anakin and Obi-Wan) fit together by inserting the piece of upward jutting lava on Anakin's base through the last elongated slot on the front of Obi-Wan's lava. It's a loose fit, but Obi-Wan's lava lays perfectly on top of Anakin's and it truly joins their bases together in a secure and aesthetically pleasing manner.
If you have any other questions, just post and I'll do what I can to answer them!