Q: setting project to 24 fps

Why do you want 24fps? Only films, shot on film and projected on film are 24fps. Video 24p is 23.98. Broadcast, DVD...web.  It's 23.98. Cameras that shoot 24fps...do it at 23.98, not 24fps.

You are doing nothing wrong.

Actually, no...frames won't be lost. There is no such thing as a partial frame. That's just the SPEED in which it plays back...slightly SLOWER than true 24fps.  Where is this destined for distribution?

Ah...yes. Well, simply do into the AUDIO VIDEO SETTINGS, Sequence presets tab. Duplicate the setting closest to the one you want, and edit the duplicate to be the frame rate you want.  Although if your footage is coming in 24fps, if you drop it into a new sequence, that sequence should automatically adopt that frame rate.  If it isn't, then are you sure the footage you are getting is true 24fps?