I've reviewed the web page on this and have:
1) Created a .emacs file in the /home/steve/emacs.d directory and put the following lines in it:

(autoload 'gambit-inferior-mode "gambit" "Hook Gambit mode into cmuscheme.")
(autoload 'gambit-mode "gambit" "Hook Gambit mode into scheme.")
(add-hook 'inferior-scheme-mode-hook (function gambit-inferior-mode))
(add-hook 'scheme-mode-hook (function gambit-mode))
(setq scheme-program-name "gsi -:d-")

2) I've copied gambit.el into the same directory from /usr/lib/gambit/misc/gambit.el

When I start emacs, and key M-x run-scheme, emacs responds with:  Searching for program: no such file or directory, scheme

Any help on how to integrate emacs with Gambit?

Thanks, Steve