JerryS,
Welcome to the board.
T/C sells what they call "Cheap Shots", it mimicks the XTP in size and weight. They should get you very close and can be bought at Wally World, probably on clearance right now since most of the seasons are over. Also you can buy sabots in bulk and buy the pistol bullets seperately.
The 209 snap caps are a new one on me, but would be avery good idea if you want to dry fire your rifle. I have never had a problem with a firing pin breaking (knock on wood) in any of my H&R/NEF's but have heard of a few breaking with just one dry fire. Do you have a link to the 209 snap-caps?
Any of the H&R/NEF stocks should fit your sidekick, but the forearm would not due to the spacing between the barrel lug and the receiver being longer on the Sidekick and the forend would not have a place for the ramrod.