Some say the Glanze indexable holders are good quality. Grizzly sells a couple of different sized sets. Little Machine Shop sells the Arthur H. Warner sets, among others. Or you can get them direct at
http://www.arwarnerco.com/ along with high speed steel inserts.
For a small lathe, the general recommendation is to go with a positive rake insert. CCMT is widely recommended for small lathes. I believe the Grizzly H5680 Glanze set is CCMT.
Other holders I've seen recommended are the Toolmex (TMX), Micro 100 and Hertel.
EDIT: You can order accessories for your HF 8 x 12 directly from HF. This includes 4-jaw chuck, steady and follow rests and a faceplate. You have to call service and it takes awhile, but price was good last time I checked.