I am not an expert, so whatever I say may be inaccurate or not work for you.
With the gun you have, you should be able to spray waterbased lacquers, polyurethanes, etc with no changes. You can spray oil based products, but will probably need to thin them some to get them to spray well. You will need to get I believe what is called a Ford cup to time how long it takes a cup of the stuff to drain to see if it needs to be thinned or not. Personally, I have not tried spraying oil based stuff yet, but I intend to very soon. I have a couple of lap board/desks I have been brushing with polyurethane, and after spraying WB lacquer with moderate success, I despise to brush.
Spraying latex paint is a different matter. I tried it once unthinned in an HVLP conversion gun, and I regretted it. Others have had success with thinning the paint with water and or Floetrol and using a larger needle/cap set, but I have yet to try it.
I have sprayed shellac, and that is about like spraying WB stuff to me since it is thin.
Make sure to use a strainer on every finish you run through the gun.
Hopefully, the gun you have has a regulator right at the handle so you can adjust the input pressure. I am not sure of the adjustment configurations of your gun, but pretty much all conversion guns should have a pressure regulator adjustment, an air adjustment, and a fluid adjustment.
The fluid adjustment is just how much the needle is allowed to move back. When getting going, set your air pressure at the air compressor regulator to say around 60 lbs, and use a fairly large inside diameter air hose to your gun as these things take large volumes of air. At the gun, start with your pressure around 25 lbs. Have the fluid needle closed. Set up to spray on scrap, squeeze the trigger, and start opening the fluid needle until you start to get a fairly even spray coat. Play back and forth with the fluid and air controls to have the maximum amount of fluid with the least amount of air. The reason for this is the less air pressure you use the less "bouncing" of the stuff you are spraying so the less mess and less over spray.
If you do the above, you can spray inside as I do. I just open a window, stick a box fan in it, and go to it. I would NOT do this with a standard gun as the overspray gets everywhere.
Really, spraying isn't too hard with the WB products. Consistent and timed motions and steady hands once you have the flow laid out correctly, it can be quite pleasing.
Prep work and making sure your project is properly sanded is more important than ever because everything shows when you spray. They say spray finishing is an art, and I can see it. Fortunately, it is fairly forgiving, and once you get the hang of it, kind of fun.
PS - I stay away from the oil based stuff as well to keep gun cleaning easier.