1. Buy a manual and read it. You need one anyway. The Lyman book lgbloader mentions is extremely versatile. Covers cartridges your new press won't load, but buy it and read it anyway. It has more loads using more powders and bullet weights than any bullet or powder maker's book. Not that those are bad. They only give data for their products. Load for the bullet weight. Who made it or its construction doesn't matter. IE. a 180 grain Sierra JHP and a 180 grain Hornady XTP are loaded with the same data.
The .40 S&W uses small pistol primers. One brand is as good as another. However, if you change any one component you have to work up the load again. This applies to any cartridge, handgun or rifle.
2. I've always started with whatever powder is given for the accuracy load for a particular bullet weight in my Lyman book. It has worked for about 30 years.
3. Jacketed bullets are expensive to shoot regularly. Find a local .401" cast bullet supplier. Cast bullets generally use a bullet that's 1 thou bigger than a jacketed bullet. Talk to your local gun shop.
Paper and plates do not need a hot load either. Mind you, the .40 S&W isn't known as a target cartridge. Few, if any, match grade bullets exist. Don't let that get in the way though.