Hammer76,
Congratulations. You now have a Dillon. But that means you now need to know it's differences from other presses.
Hammer76 said:
Do all die sets come with the appropriate shell holders or are they separate?
Not relevant to the Dillon. The Dillon uses its own shell plate plus particular size retaining buttons for each case head size. Standard shell holders cannot be used in the Dillon in any way. You will have to buy the 40 S&W shell plate and buttons from Dillon. Buying the RL 550B 40 S&W conversion kit will get you all the necessary parts and is the most economical approach. If you intend to load other calibers, you have the option to buy a separate tool head for your .40 S&W dies, too. This lets you leave the dies set up on the tool head for easy swapping out with another tool head with other dies that were loading a different chambering.
Hammer76 said:
What are the best set of dies for this reloader and what's the proper way to set them?
Use Dillon dies for three reasons: One is that the rotating shell holder plate has a little more wiggle room than standard shell holders. This is on purpose, for tolerance stacking reasons. The cartridges self-center in the dies anyway, so it introduces no problems. However, it does mean you need a sizing die with a more generous mouth radius than some makes have. I have accidentally crushed cases using a Lee sizing die in my 550 because it didn't have a wide enough mouth to line up. Dillon dies have the appropriate mouth radius for their machines.
Second, the Dillon pistol sizing dies are also slightly narrower than most. This is to force even the thinnest mouth brass to size adequately to function properly. I used to be unable to resize R-P .45 Auto brass enough to hold onto a bullet more than a couple of times in my old Lyman carbide die. After that it got too springy to size down enough in that die. My Dillon .45 Auto die has no problem with R-P cases at all. Dillon does this so the progressive loading sequence is not interrupted nor is faulty ammo produced accidentally, This is an issue in progressive loaders because you are not handling each round individually at each step and so may not notice the problem.
Third, the case flare on a pistol round is applied by the powder measure drop tube/operating rod in a Dillon. Unless you have a whole after-market powder measure system attached, the Dillon measure will require their parts and their .40 S&W drop tube for the flaring and dispensing of powder. Someone else's expander die cannot be used with the Dillon powder measure unless made specifically for it, which competing standard expander dies are not. This is another reason for buying a Dillon caliber conversion kit. It includes the right drop tube for your caliber for their powder measure.
Seating and crimp dies could be any make you choose, but since you will buy a die set rather than the individual dies to save money, just get the Dillon set and use theirs. Between the caliber conversion kit and die set, you will be out about $120 with S&H, but I think you will find it worth it for the speed with which you can produce hundreds of rounds of ammo to get lots of practice.
One other thing you can do is send the press to Dillon, ordering the die set and conversion kit at the same time, and they will check the press out, replace any worn parts at no charge, and ship it back to you already set up with the new dies and conversion kit in place. Dillon stuff is not inexpensive, but their lifetime warranty is no bull, even if you got the press from someone else. You can call their toll-free customer service to have them talk you through any adjustment or other issue any time at no charge. Their service is second to none. That's part of what you are paying for with their gear.