I don't own Cougar 8000 but have PX4 which is similar in design. From what I hear about Cougar and definitely experience from PX4, it should have no problem with much of bulk FMJ ammo.
Winchester White box is good choice as well as Federal bulk packs which can be found in most Walmarts. Stay away from steel case ammos and stick with brass case.
As for field stripping and cleaning the gun, practice if you can find the time. It's definitely a good idea to give thorough cleaning prior to shooting it for the first time.
Youtube is your friend when it comes to examples of field stripping just about any gun out there, manual should have good pointers on what parts to lube. Using my gun as an example, which like I said is similar in design to your Cougar, I would lube each slide rails and locking rail on barrel as well as corresponding locking nut that meets the rail (which is all recommended by manual for PX4).
For general handgun cleaning tips, there are plenty of good examples of that in Youtube as well.
Safe shooting, and enjoy your new gun.
Let's wait until we actually see concrete legislation before we go off half-cocked. ~ Tom Servo