Any of the sets on the site will handle the Kohestu, no problem (http://www.chefknivestogo.com/shstse.html
). You could beat OOTB sharpness with any of these with practice.
Just starting out I would go with a two stone setup, a 1-2k stone and a 4-6k stone. Anything coarser than 1k is used mostly for grinding out damage to the edge and can be bought later when/if needed. Assuming you don't damage the blade, you can maintain the edge starting with the 1k easily. Anything above the ~5k range is not necessary in kitchen cutlery, but it is fun. The Kohetsu seems to have an edge in this range. The 1-6k jump is not too much of a jump either, a middle stone can reduce the total number of strokes to get a given level of refinement, but I find changing stones and getting out of rhythm is more time consuming than the few extra strokes it takes.
I started sharpening about 2 years ago and I was able to get my edges to near factory sharpness within a few sharpening sessions. The carbon steels sharpen quicker and easier and to a higher degree of refinement than the stainless steels, so the AS core in the Kohetsu should respond very well. That being said I might practice on your Henckel a bit first. The OOTB sharpness on the Kohetsu is a high bar.
As far as specific stone recommendations, that seems largely to be preference (I mostly have experience with a single brand) and you might read a bit, make a call, and jump in. Besides the stones the jewelers loop is educational, but not necessary. A sharpie is really helpful, but it does not have to be a specific type just anything to mark the bevel so you can see where you are hitting. On carbon knives I use the patina to find my edge. Strops and steels can be nice to extend the life of the edge, but to start with I would use newsprint on a counter to strop...its free.