Josh,
If you haven't read Frank Marini's excellent
LIONFISH CARE ARTICLE, give it a read. There's lots of great info in it.
Frank also has a really great new book out entitled
Lionfishes and Other Scorpionfishes. It's a must-have if you're into lionfish. Amazon has it.
As far as feeding goes, check out
Tools of the Trade: Equipment & Techniques to Convert your Fish onto Frozen. It's a pretty good read.
Personally, I'd stick with either
Pterois volitans (volitans lion),
P.russelii (Russel's lion/red volitans lion), or
Dendrochirus brachypterus (fuzzy dwarf lion) as your first lion. All three are great fish...they wean fairly easily, and are pretty tolerant in terms of water quality. All of the "medium-bodied" lions such (
P. antennata, P. mombassae, and P. radiata) tend to be poor shippers, are harder to wean, and are generally a bit more touchy.
Also, I'd get the lion first and get it conditioned and eating for you, then add the SFE as they're pretty much bulletproof and will be less work to add second.
HTH