True you can't use .sof files without the JTAG connection. You won't be able to use the nios downloader or nios programmer either to run your software.
What you will need to do is to compile your software, convert the .elf to a flash file and put it in the flash with the Quartus programmer. When converting to a flash file you will need to provide the fpga design so that the .elf file is mapped just after the FPGA image on the flash.
Ensure too that the CPU has his reset vector set to the EPCS controller so that it will load the software when it boots.
If you have two spare pins you can use them as a serial bus, with a UART core. This can ease debugging and communication with the CPU.