Lemme help you out before everyone tells you to search on this topic.
here is a very thorough guide to the upgrade
About needing the thing that the caliper slides into . . . I think you might be confused about what exactly is replaced with new brakes. Stock brakes use a sliding caliper(basically 2 pieces) where as the 300zx brakes, as well as most high performance brake systems, use a fixed caliper (one piece). The 300zx brakes will bolt up in place of your current brakes with modification. There will be nothing sliding anymore after the upgrade (besides the brake pads).
hope this helps
Ryan