If the turret has been machined correctly, then all the tool slots should be at identical heights, so you shouldn't need any shims as long as you are using the correct size of toolholder.
Regarding inserts, post up any numbers on what you have, as there are only a few different basic shapes of inserts for lathes, unless the holder is for something very specific.

Referencing a lathe in Mach, depends on if it has homing switches or not. If it doesn't have homing switches, then personally I'd add at least one on the X-axis, as that is the most critical axis.
However, in a nutshell, without homing switches, all tool offsets are taken as on offset from your master tool. At startup, you take a test cut with the master tool, measure the cut, and enter the size into the DRO, so Mach then has a known reference point.
If you have homing, then you don't have a master tool, and all tool offsets are an offset from the home/reference position.

Where about is middle of nowhere?