Yeah, all documents are good to read, depending on your interest, you can start with "intros" "tutorials" then end up with Handbooks for NIOSII or SW dev
niosii handbook n2cpu_nii5v1 (
http://www.altera.com/literature/hb/nios2/n2cpu_nii5v1.pdf)
niosii software handbook n2sw_nii5v2 (
http://www.altera.com/literature/hb/nios2/n2sw_nii5v2.pdf)
tt_qsys_intro (
http://www.altera.com/literature/tt/tt_qsys_intro.pdf)
but I guess you'll first begin with the manuals of your board.
To answer your question, you can use a JTAG uart or real uart that you open on console window with "nios2-terminal" (see tutorials for more details). That makes you receive with NIOSII what you type on the console.