Your Sherline lathe will turn anything a bigger lathe will turn, Aaron. However, for your threading adapter, 12L14 will be fine and much easier to work with. Sherline uses 12L14 or 1215 for many of their tools and adapters. Most of the time you can find small pieces of 12L14 on ebay, often with free or reasonable shipping prices.
1144 would be an okay material for your stamping stuff. It won't hold up to heavy use but for limited use on thin brass sheet I think it would be okay. This can also be readily found on ebay.
You are going to find that 1018 does not finish well. It will make parts but there are other materials that finish better on a light lathe. For a Sherline, 12L14, 1215, 1144 are a good place to start working with steel. Then buy other materials when the project calls for it.