Hi Mike,
Welcome to the world of salt...
Firstly, defo go the live rock route - about 1kg per 10l is typical, I think, so look at a good 15kg or so to get yourself some decent filtration power.
This means you don't need the 405, but if you clean it out and replace the media with a couple of filter bags, you can fill one with phosphate absorber and the other with (optional) carbon.
Now, your big challenge at this point is getting a skimmer fitted. You can manage without, but given the gunge mine pulls out I'd recommend you do. Can't really suggest candidates without knowing more about your tank - I had a Roma 90 and can't think where I'd have put it.
You will need to keep using your heater, sure you figured that already! As for the Koralia 1, I don't have the power figures to hand but one of them doesn't sound a lot for a 125l tank. I had two Koralia 3 pumps on a 400l tank and found that wasn't really enough - I now have a pair of 4's! Basically for a 125l tank you need about 2500lph (litres per hour) circulation (ie 20x tank volume) so you can check what your K1 and filter add up to. You can always add more circulation if you don't think you're getting enough!
Optional extras:
UV steriliser - costs a fair few quid, in theory you get fewer bad bugs in your tank, so less fish disease. If you go for one, plumb it in the return line of the external filter.
Auto Top-up - one of the best investments for a marine setup, this maintains your water level and therefore salinity. This summer my 400l tank has lost 2-3 litres of water a day through evaporation, so rather than pour this amount of RO water back in, my auto system does it.
Other kit:
RO setup -unless you buy your water from your LFS, you'll need a lot of RO for making saltwater. You can buy this, but it's easier to have your own available on demand.
SW make-up - the one thing I never factored in to my marine conversion was making up saltwtaer. I change about 80l per week, so need to make that much. Thankfully I had an old tank to use for the mixing, but more important than that is the space to put this, the RO unit, some stored RO and a big bucket of salt! Figure on needing at least as much space as your tank iself!
Final big idea - think about adding a sump. Won't go into why and how as that's a whole extra post in itself
Hope that helps!
Paul