Welcome to the board.
Changing the sprocket is not too difficult as long as you have the right tools. Basically, you will need a set of sockets, hex keys, C-clip wrench, a means to cut the metal chain, a torque wrench, and a tool to rivet the chain master link together (rivet tool is not required if you use a clip master link). On most web sites, it will indicate whether the chain comes with a rivetted master link or a clip master link.
Size and length of chain:
This will be a personal choice, just buy the correct sized chain and sprockets that will suit your needs. The Bandit comes standard with 525 chain and sprockets, but you also have the option of changing over to a narrower 520 chain and sprockets for the lil 400 too. Although the 520 setup is cheaper and lighter, I persoanlly just stick with the standard wider 525 setup.
The chain length that you will need will largely depend on the size of the sprockets you choose to put on the bandit. If you put bigger (more teeth) than stock sprockets on the bike, you will need a longer chain (more links) and if you put smaller sprockets (fewer teeth) than stock, you will need a shorter chain (less links). Just remember to buy a chain with a few extra links that you can cut away to fit your needs. However, before you do any cutting, it might be a good idea to mock up the new chain and sprockets on the bike so you can determine how many links you actually need. Also keep in mind that the chain length needs to include some chain slack.