OK, lets detail what you have. I'm afraid the photos wont open to full size for me, so I'm going to have to make some educated guesses.
You have a Cheddar Models set up: Boiler is a Puffin Horizontal, it will be fitted with a low pressure safety valve, set to lift at 45 psi. I am assuming you have a ceramic burner, as I can see you have a gas regulator (the red device between the gas tank and burner). The engine is a Pelican, which is a Puffin but in a V configuration. The gas tank is the standard Cheddar model.
If you PM me you e-mail address, I will scan the original instruction for the Puffin set up, which you can follow. The gas reg works pretty much the same way as the one offered by Forrest classics, but if you get stuck, then a phone call to Bruce Engineering (Polly Model Engineering) or Stuart Models will point you in the right direction. You never know, somebody on the forum may have a set of instructions they can copy for you.
With regard to lubrication, whatever you do, DO NOT use WD40 anywhere near the plant. I have always used steam oil on all my engines, but I can't see light use of engine oil doing any harm.
To get familiar with the operation of the boiler, it is worth steaming it up a few times with the steam valve closed as Bunkerbarge suggested. The safety valve will lift and will let off sufficient steam, even if you leave the gas full on.
Clevedon Steam can provide you with any O rings that may be getting tired. Jerry has an e-bay shop and you can always e-mail him. He is an ex-Cheddar employee.
Take you time and have fun.
Neil