No, you have not missed anything, after recently re-watching this saga in Dragonball and re-reading the manga, it does not show Krillin witnessing the Kamehameha before this point.
For Master Roshi, it seems to be relatively common knowledge amongst enthusiastic martial artists in Dragonball that he can perform the Technique, with comments such as "It was thought that only Master Roshi was capable of this technique" from the commentator during the fight, and so it is reasonable to believe that Krillin knew about this as well, particularly knowing enough about Master Roshi to seek him out for training.
For Goku, I can only guess that Goku demonstrated this technique at some point during the months of training that he had together with Krillin under Master Roshi before the competition; in the anime/manga it doesn't show much of this period other than the beginning and the end of the training, as well as a short montage of the daily training activities in the middle, so there is a lot we don't see.
It's also interesting to note that Krillin doesn't make this comment in the manga.