Hi, Jason. I just bought a Cobra 3, and they were able to advise me on both the needle (leather point) and thread size. I went with a size 277 on the thread and a 207 on the bobbin for starters but you can go smaller or larger depending on what you think you might like. I went through a distributor in NC (Zach White Leather) as it allowed me to pick it up in lieu of shipping. You may want to check with them (since it looks like you are on the East coast--it may save you on shipping) as well as Leather Machine Co. My machine came ready to stitch--the only hiccup I had was getting the belt installed correctly when re-assembling after transport--but I received great customer support and was rocking along in no time.
PS: There definitely is a learning curve to using the machine, but I can tell once I get the hang of it, it will be awesome. Leather Machine Co. has some great instructional videos on their website, and there are also videos available online from various sources.