This is just me, but if you're buying everything new and not adapting an existing set of filters, I think going with Cokin P series is overkill unless you're getting a supertelephoto zoom. You can probably get away with the series A adapter.
The P filters are designed for lenses with a maximum size of 82mm. The A series maximum size is 62mm. The biggest filter ring I've run into on an MFT lens is 58mm. You may still need a step-up ring to use the adapter ring with a particularly small lens, like the m.Zuiko 45/1.8 which is Ø37mm, or if you want to avoid buying multiple Cokin adapter rings.
And the adapter ring is a Cokin adapter ring for the specific series that will fit on the front of your lens, it's not just a step-up ring, but has a flange onto which the holder slots. B&H lists the Series A adapter rings here. If you want to put it directly on your 14-42, then get a 58mm sized one, since that's the size filter thread it takes.
See also: B&H's "The Cokin Creative Filter System" page.