I use CBN wheels and ordered them from Wood Turning Wonders. CBN wheels are far superior to the stone wheels BUT sharpening really cheap steel tools on them can gum them up over time so just be aware of that. I bought the 80/350 grit set. Higher grit for shaping and lower grit for honing.
If you get wheels make sure you get the self-aligning spherical washer set for the wheels, the one I got was a set for 2 wheels. Those align your wheels, basically, perfectly so you don't have to worry about the balancing issues with new wheels. It wouldn't be a bad choice to get the system through them. I would only price shop slow speed frinders before paying for the Jet which are typically in the higher end of the pricing because of brand name.