I bought the Options interchangeable set about a month ago, and I totally love it!
The set comes with the needle tips, 4 cables, a zippered pouch for keeping everything in, and a few other little things (end caps for cables, etc). I find that the zippered pouch that comes with the interchangeable set is just fine for keeping all of my small knitting supplies together ... I just slip the pouch in my knitting bag with my project, yarn, etc. I'd say there's no need to buy an additional bag to store these things in, but that's just my opinion.
As far as whether the cables are compatible with the Harmony needles or others, I'm not sure as the Options are the only needles I've purchased from Knit Picks ... but I'm sure someone will be able to give you some insight on that, I know there are lots of people on the forum who own both Options and Harmonies!
Anyways, congrats on finding the Options on sale ... I know you'll enjoy them!