Ordered my first lathe. Any recommendations for gear/add ons?

I bought a cheap 8x16 mini lathe off of ebay with the end goal of learning to make my own guides, pistons, sleeves, moderators, etc. Basically anything that a lathe can handle. Does anyone with experience have any recommendations on where to start with learning this thing or what else I should could concider getting to make this easier. Thanks in advance!
Never, ever, ever leave the chuck key in the chuck. Not even for a second. If it's in the chuck, your hand better be on it or eventually you'll forget and turn on the spindle. Bad things happen then.
 
Great Post and feedback from members. A lot of good information being shared so far!

Still need to finish up my Lathe Bench for mine....

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