Dont forget that you need to do some math before you go with gears. Depending on the height of your tyres 4:10s could end up being 4:20, 4:30 or even 4:56. Or it could be lower. Their are some roadracers that put in 3:90s and the final raito will be somthing like 4:05. Yes you will need a tuner to fix your speedo tho.
All the frpp gear sets I've seen come with a pinion nut and some shims. Replacing the bearings is your call. I've replaced mine a few times (a more accurate statement would be had them replaced because I've never done any of my gear installs), usually after the second gear install on a set. The pinion bearing should be replaced every time.