The burner orifices should be marked with either an lp or ng on them, most of the time they are stamped in sometimes color coded. If you have the manual it should tell you.
You are correct that is a propane regulator, a natural gas regulator will have either a 1/2ips or 3/8ips female threaded end on it. I would call the manufacturer back and get infor on the orifices then start there.
If you run propane with the natural gas orifice the flame will be about three times the size as the hole is larger than a propane one.