Now you have to decide which fonts to preload in your format. Unlike the old font selection scheme of LATEX, where only preloaded fonts could be used in math applications (like subscripts etc.), the new font selection scheme poses no restriction at all; documents will always come out the same. So you have to take your pick by weighing the two conflicting principles:
Together with the new font selection scheme two files preload.min and preload.ori are distributed. The first one will preload next to nothing while the second will preload the same fonts as the old lfonts.tex. You can copy either of these files to preload.tex and then change it if you want to preload some other fonts. But please make sure that you don't change one of the original files of the distribution.