Thanks for the replies guys, I managed to get the chuck off using rubber strap wrenches (pictured).
I realised quickly, as you have pointed out, that the little files were no use so I filed all the bashed threads flat which helped a little in getting the end cap thing (pictured and highlighted red) started on some threads. But it only goes about halfway then it binds really hard. I've went over all the threads with a little file and they're all clean of bashes, I filed the tops of all the threads to make sure they're all even then filed between the threads and polished with steel wool, but nothing.... Used some oil. Not sure if maybe the small file marks that I can't see are possibly causing it to bind?
Was thinking about hacksawing the end off? I'm not 100% sure what that part's purpose is, to stop the gear coming off? Thought I'd taken a picture of the threads in "as is "condition but apparently didn't.
Still can't figure out what the little square keyway on the gear is for or how to get the gear off, but I think I'm going to take your advice and leave the rest of this part alone till I know a bit more about lathes in general. Got "Basic Lathework", "The Amateur's Lathe" and "How to run a lathe" so should be an expert in no time. For now I'll clean it the best I can then oil it and hopefully break some chips at the weekend, if I can get the motor running!