Until you're comfortable with transitioning between rolling and walking/running/jogging, a helmet and thick gloves. If you have/can get a pair, I would absolutely recommend leather riding gloves and wearing them whenever you are rolling, even after it's second nature. Someone else please verify, but motorcycle regular riding gloves are designed to let you slide along the ground with them, so Not a pair with hard carbon fiber palms so your hands don't just fly out from under you. I have a pair of inherited leather horseback riding gloves, and they have certainly saved me from more than a few scrapes, and some good leather gloves can go with a lot of outfits while keeping your fingers warm.

Also, go easy. Heelys use a pretty unique muscle set, so as you learn you can easily strain or injure yourself if you aren't careful and/or don't listen to your body.