BT has a one step die that will serve your needs for the .40 cal. Here's the thread:
http://castboolits.gunloads.com/show...-far-and-cheap!
I am sure others will tell you, the LNL press probably isn't the best idea for swaging bullets as the pressure required will probably do a number on the die insert at the top of the press. I can recommend the Lee Classic Cast (not breech lock) as the best single stage I know of, I've had mine for several years and it has never let me down.
Specific answers about equipment depend upon what you want to do. Read through all the posts here and the rest of the forum, and use the search function. The answers are out there. If you can't find what you need, be as specific as you can in your questions regarding caliber, firearm, etc. Someone here knows and will be happy to help.
Welcome aboard!