Be careful with Lee - while they make some good stuff here and there, it is definitely the low cost bargain brand, and some of their stuff shows it. That's fine if you're on a budget - it will get the job done. But if you're just being cheap, step up up to one of the other brands - the RCBS Rockchucker is sort of a standard and my choice, but Redding, Hornady and others make decent stuff too. Generally, I would not recommend a progressive as a first press, but it's been done.
But to answer your question more directly, you need a shell holder and dies to match the caliber you're loading. Everything else is caliber independent (except components, obviously).