Hey Butters, and welcome to the forums.
Changing the gobos is real easy. The non-rotating wheel just basically slide in and out on little retaining clips. The rotating wheel is a little harder. The whole rotating assembly pops out and then slides out. You then need to pull out the spring which holds the gobo in place. Replace your gobo, replace the spring, slide back into place, and snap it back in. Good to go. I can post photos of the rotating assembly if you like, the description is a little vague.
As far as the optional lens, that, from what I understand slides into place or screws into place relatively easy. I don't personally have any DS 250 Pros, so can't truthfully comment. Maybe someone else can explain it better.