c0nduit gave an excellent reply, and the 5240 kit is an excellent place to start. I too use a hook to hang the motor from as this allows better positioning of the flex shaft in most situations.

I don't do a lot of fine detailing, but my secondary tool is a Dremel with a flex shaft for the finer bits. One thing I haven't seen mentioned is a glove for the hand holding the carving (if you are going to do hand held). The more aggressive burrs can grab, and will do a number on bare skin in a heartbeat. I use an inexpensive leather glove similar to these that I picked up at a local big box hardware store.

While c0nduit mentioned soft wood, I'm currently carving on a piece of Bradford pear that has been curing for several years and is hard as a rock. The Foredom has been doing an excellent job with aggressive burrs.

As for protection, I prefer a dust mask and full face shield - less chance of fogging. Also, spray static guard helps greatly in eliminating dust sticking to the shield.