The filters screw in the holder, so you would unscrew the NC filter and screw the new one into the holder. Just make sure the width of the filter ring is no wider than the included filter or you could get it jammed. There would be no real reason to buy additional filter holders.
The CP filter is part of a special holder that inserts into the slot instead of the standard holder. As mentioned above, this is to enable remote turning of the filter.
I am curious as to what filter are you wanting to use? I don't know many photographers who use non-CP filters in long lenses. I guess a colored one for B&W is an option.
My older AIS telephoto lenses used to come with a second holder where you could cut gels and install filters that way. I have never used them.