byrdman, congrats on the Sheldon. Very capable little lathes. Easily the same quality of Southbends. I've run both and prefer the Sheldons. Similar to my first Sheldon. Mine came with the turret plus tailstock and a 5c closer. The Yahoo group is active and a good source of information and parts/accessories.
You'll need the nose piece for the 5C collet closer. When you remove the lathe chuck, it will slip into the headstock spindle. I did not see it in the pictures. Start looking for an original steady rest if it doesn't have one.
WARNING: do not lock the headstock in back gears and try to loosen the chuck if it is a threaded spindle. You'll break teeth off the gears almost guaranteed. Use a soft piece of wood between the gears and the edge of the headstock casting to keep the spindle from turning.
The AXA size works fine. I never ran out of adjustment with my set up.