I use McHenry almost exclusively as it is a one-piece pop-it-in coupler. Simply unscrew the cover on the coupler pocket, remove the old coupler, insert the new McHenry, and replace the cover. Kadees are also good but can require a bit of extra work fitting the copper spring in place. You can mix and match these types of couplers.
Some coupler knuckles are actuated by a small piece of plastic which will end up breaking off. You don't want these kind. Regardless of which coupler you use, make sure that the coupler knuckle is actuated by a small copper spring that you can clearly see on the side of the coupler.
As to wheel sets, you are looking for those with metal wheels. You can buy the individual wheels on axles (usually metal wheels on plastic axles). It's a simple matter of twisting the truck and removing the wheels and popping in new ones. Your local hobby shop should have packages of 10 - 12 wheels in different sizes.
Wheel sets are rated according to the diameter of the wheel (eg 33", 36", etc) Take some of the wheel sets you want to replace with you when you visit your local hobby shop.
Wheel sets come in two "styles" - flat or ribbed on the inside of the wheel. As to which style you use will depend upon your preference. For some ideas as to which style you would like, take a look at some prototypical wheels.
Bob M.