I have a Remington 870 Express Super Mag with a 28" barrel and a Hevi Shot Choke .662.
I do not know much about shots so I am going to go with Long Beard XR in 3" shell and #5 shot. For a starter, does this sound like a good place to start?
Yes, if it gives you a dense even pattern.
I would use #6s. You said you only plan on shooting 40 yards max so I would not consider anything larger than #6s.