Tigger, put "Gibson J40" into Google and then click on the key for "images".

Thread-throughs are easy peasy - much easier than pegbridges. Just thread each string through the right hole and then proceed as I outlined above. If you then see a crack at the back of the bridge, panic and rush to a proper guitar fettler, probably not your local music shop. But since you say you bought for the sound it is under tension so if there is a crack there panic now and if there isn't, don't.

12-53s are probably a good gauge to start with. Much lighter and the top will not move properly.

Clean the guitar properly while the strings are off and do not use silicon polish or wax polish (or methylated spirits unless you check carefully on a hidden part first - meths dissolves some old finishes). Don't forget to clean the nut slots and take the saddle out (if it is a one-piece one which I expect it to be) and make sure there is no fluff or shit under it - makes quite a difference.