When i did mine i didn't need to support it at all. It will pretty much stay in place. Make sure you refer to the filter/gasket as the proper thing...it is the transmission not the transfer case (tc).
And yes, the gasket comes with the filter. Easy job but messy.
I would buy a couple extra quarts to be safe...unless you have another vehicle to get to the parts store in.
Also another area on the tranny prone to leakage is the gasket on the shift indicator shaft (think thats what its called).