Do what it says, one change gear on the stud, the other on the lead screw. Shows the resulting thread pitch. Intermediate gears do not change the gear ratio, as long as they are not compound gears. Intermediate gears do change the direction of rotation.
This pic shows a double gear in the change gear position, make sure both the other gears are using the same gear, as said already, the number of teeth do not matter on that gear. Both gears are used in compounding, namely for doing metric gears. Do not worry about that for now.
Google the "How to run a lathe", there is PDF copies all over the internet. Or watch E-bay for the actual books.
Someone on that thread also linked to Vintage Machinery, where you may be able to find the manual. Using the chart above, and gear placement according to that other ahead (or your manual if you have it), you should have the information you need. As always, I'd suggest making "sure" by chucking up some waste stock or scrap, and trying to turn a thread.
It looks like you may have all the needed change gears if at least one of them is on the lathe. For inch threads, anyway. You will also need transposing gears to do metric threads, probably 127 and 100 teeth. You will need to find, read, and understand a manual to learn some of this.