What components do I need to run this set up?

You can do it without the other stuff, it just won't be ideal. You're right though, there is more you'll need to get the most out of it. You may want to go different with this stuff if you plan on bigger upgrades in the future, but even with a stronger cam you should still be fine with those parts and a 155lph pump, adjustable regulator, 65-70mm TB (depending on whether you plan a cam swap later or not), 24# injectors and a 75mm MAF calibrated for them. What goes in must come out (in one form or another) so if you aren't running a 2.5" exhaust yet, it's worth thinking about at least a catback system. Doing all that stuff before the heads and intake won't offer much of a difference for the time and money, but putting doing the heads and intake first should so I'd say go for it now. Do the rest later to frost the cake and really wake the combo up. I'd say do the pump and regulator last, since the stock pump should be able to support these mods for awhile without quitting, and without a cam, you should be fine at the stock fuel pressure so there isn't really a need to tweek it unless you run into some issues- which could happen but probably wont if everything is in good working order now. Again, if you're thinking of something big like forced induction down the road, you'll want a bigger pump and injectors, etc...otherwise you can easily get by with these sizes with no trouble.

Just gaskets dude. Oh, if you get the AFR's, don't get the 2.02 intake valve or you'll have to flycut the pistons. Otherwise, it all just bolts up. Should work with all your stock parts.