Except for the grinder, most of that stuff (like the chucks and centers) come with that lathe. I might be wrong (it's been at least 10 minutes so I'm overdue) but I think the OP's question was mostly focused on the bits - does he buy 3/8 or 1/2, in HSS or carbide....
I have BXA, not AXA so I don't know what the max size bit the holders will hold.
I agree HSS is the way to start - in whatever the largest size that those AXA holders will take. And if you want to cheat a bit I think some places (LMS maybe?) sell a small pre-ground set of bits to get you going. I'll add in that a cutoff bit is needed - where's the fun if you have to pull out the hacksaw after all that fancy turning and threading?
Good luck with the new lathe
Joe