No problems, we all had to start somewhere.
First determine what powder you want to shoot in it. Pyrodex is good but a bit of a PITA to clean up. Triple seven is an easier clean up but can form a crud ring that is challenging to clean up right in front of the breech plug. When I am out of my current triple seven supply I'm going to switch to blackhorn209, its more expensive but is supposed to clean up REALLY easy and not form a crud ring.
Depending on what powder you choose will determine if you need any special type of cap. The triple7 caps do seem to minimize the crud ring build up since I switched to them. The blackhorn209 requires a hotter cap to ignite it.
Most of the powders will absorb water if allowed to sit opened to the air so I always store mine (the entire container) in a sealed ziplock bag. Don't know if it helps but it helps me think that it does. Also the pellets don't give you as much in the way of variation to really dial in your load if that's your thing. The pellets are also more expensive but offer more convienence. Your choice.
Bullets - many options here. I personally use 250 grain .452 Hornady XTP bullets and magnum muzzleloading products sabots in mine. Once again you can go with a slightly more expensive but more convienent option of a bullet sabot combo you can buy at most stores (TC shockwaves, powerbelts, etc) or the mix and match style which requires a little more work. For example the TC shockwaves run ~$15-20 for 15 of them (found
here). You could instead buy a 225 grain identical bullet for $30 for 100 (found
here) and then go to magnum muzzleloading and order some sabots at $9 per 50 (
here) and then you are at $48 for 100 ready to go instead of >$90 bucks for 90 of them.
The XTP bullets I use are also available already set up
here.
I have noticed that the Omegas that I, my dad, my brother, and the spare all have fairly tight bores and required the Magnum muzzleloading 3 petal EZ sabot over some of the other ones and that did take some tuning and shooting to figure out.
All that being said, some people don't want to put in that much effort. No worries.
My personal load is 110 grains of triple7 with a 250 grain XTP .452 bullet with the EZ sabot from magnum muzzleloading products. It has provided VERY good performance on the deer I've shot with it. Inside 10-15 yards I have noticed that the jacket sometimes comes off the bullet due to the higher velocity I am gaining from the powder but no less devastating results. I have shot a deer up to 100 yards with this combination and the bullet did a great job. Such a good job that you have to make sure of your bullet placement b/c otherwise the wound channel is large enough to mess up some (ok well A LOT) of meat if you hit the wrong part of a shoulder. I have used it on quartering shots where I go in behind one shoulder and lodge the bullet in the other shoulder and every deer with that shot dropped in its tracks. My father uses the same bullet with 70 grains of triple7 and has had no problems, my brother uses the same load I do and just complains when he messes up meat from the bullets but hasn't complained that the deer drop fast when hit with them. One of the deer one of us shot we recovered the bullet while processing and it was quarter sized in its mushroom and was completely embedded in the bone.
HOpe that helps