Whacking the regulator up is important as Ive discovered that no gas actually comes out of it until it is set to number 4 (5 is maximum).
I plan on replacing the reg. with a better quality one at some point.
So far Ive got on ok with the little disposable gas bottles, but they aren't great value. On the other hand, if you only do a bit of welding once or twice a year,you have to take into account the cost and size of the large bottles.
My welder came with gauntlets and a basic mask. I wasn't keen on the mask so bought an automatic self darkening helmet.
The whole lot came in at just over £300 iirc.
I already had an angle grinder, and so far haven't bothered with an apron or thick overalls. I just wear old thick clothes and swear a lot if anything gets past them.
Again, it all depends on how often your likely to use it, and to some degree your attitude to the risk of a minor burn.
No excuse for risking your eyes though, so a proper protection is a must.
The instruction book for the welder was pretty good and got me started, and TB also emailed me some further stuff which helped even more.