Best compost to use is John Innes No. 2 or 3, or a mix of the two. Whether you put in frost proof terracotta or plastic is down to personal preference, but terracotta pots 'breathe', so the root ball with dry out a bit quicker. Either way, the pot should have good drainage.

As for frost protection, you don't say where you live in the country - if the tree was outdoors when you bought it, then pot it up and stand it somewhere sheltered, maybe against the house wall for extra warmth, if that's possible. If it wasn't outside when you got it, then you do need to keep it somewhere, particularly overnight, where it doesn't get below around 5 deg C, preferably, and you need to go through the hardening off process by leaving it outside during the day for a increasing periods over a week or so until its out all night (and preferably not a cold night).

If you live in the north or anywhere particularly cold like Scotland, then you may need to keep it inside until March.

As its still just a whip you need to be patient - the trunk will thicken as it matures. It will be concentrating on growing more roots and making some side shoots this year.
You might find this interesting
http://www.edp24.co.uk/lifestyle/olives_how_to_look_after_your_olive_tree_1_1217419
but probably no need to feed at all for quite a while as there is plenty of food it the compost to sast a bit.

thickening up is a biological growth thing. every year it will put on more girth as it lays down wood. the better the year it the more girth, so keeping it suitably watered and fed will help .

Once again thanks so much for replies. Yes was under cover so am leaving in wood shed at night and bringing out for few hours during day whilst I ponder on container to use. In very small pot at present and soil was like concrete! so just watering to try to soften up, poor thing. By the way we live in Oxfordshire. Will follow all advice to the letter. Thanks again.