Stephen, You aren't out of your depth Either of those is a viable solution.
If you are just testing, either of those options is fine. I recommend putting the ejb jar in your classpath (option #2.) It's overkill, but it's also the easiest. And it is generally a good practice not to include the source where it isn't needed.
If you are actually distributing this console app to others, you will want to create a jar with just the stubs and skeletons. That way callers won't have access to all your business logic.