"will 800 parts work on my 860?"
The 860 is a specific model of the 800 series - the 860 has a 5 speed transmission with a live PTO. Some transmission parts are unique to the 860, other than that 800 series parts are generally the same. See the attached link to go to the official Ford/NH parts look up. If there is any doubt on parts, I go there and get the part number and also check if there was any options available associated with the area I am servicing.
"should I get a sediment bowl"
IMO, yes. The original design has a proven 60+ year history, It does work. Inline filters can work, they need to be designed for gravity flow systems, installed correctly, and changed regularly. Sediment bowls and banjo bolts are available at this site at a reasonable cost.
The N series Fords had a 'cyclone' external pre filter available. I am uncertain if the 800 series had something like this as an option. Likely someone else here will know.