Now...I guess the dies takes out the old primer and resets the new one? Correct?
The first die you'll run your brass through usually deprimes the case, and resizes it as well.
For priming, it depends on what kind of press you have. Single stage presses may have a manual priming station, where you put a single primer by hand. Quite honestly, it sounds awful. Regardless of whether your single stage press is equipped with it or not, I would pick up a hand priming tool. It'll be much more pleasant to use.
Progressive presses usually have their own primer feed system, and a station for priming the brass. You'll usually need to use a primer flip tray to get them in the same orientation.
I tried for the past half hour to try and make a list of everything you might need, realized that I would probably forget stuff on the list, and so deleted all of that work. I think your best bet is to start with your reloading manual, reading it, then making a shopping list (or proposing a shopping list to us) thereafter...
I would also recommend starting with doing a pistol caliber first.