Buy a quaility set but what you change is up to you. Normally a headset will contain everything you need to fully refurbish and replace the cylinder head...
... so thats the main compression gasket along with manifold gaskets, camshaft seals, valve stem seals along with any additional ancils that are part of the head assembly such as vvc solenoid seals (not needed on the K4J).
You really need to buy a head bolt set though as these don't always come in the kit.