I'm really tired as it's late, and I'm doing this from memory as I'm too lazy to do the research which might keep me up for another hour, so I'll just toss this off, and if I make an error, I apologize in advance and somebody else who's smarter than I am can fix it later, okay?
Hades and Gehenna are both names for hell. Hades come from the Greek concept of "the place of shadows", and Gehenna is a derivative of "Ge-Hinnom", which was a garbage dump outside Jerusalem where the bodies of executed criminals were burned. (Everlasting fire, and all that.)
Sheol is also called the "Limbo of the Fathers". It is thought to have been a place where the righteous went before Christ came to earth. It was not hell, it was a separate place, divided from hell by a huge gulf (reference the rich man in hell, and Lazarus in "Abraham's bosom" (i.e., Sheol) in our Lord's parable. When Christ descended to the underworld after His death, it was to set these righteous folks loose and send them on to heaven, and to spit in Satan's eye and inform him that he'd just screwed up royally.
Sheol was also not Purgatory. Purgatory may not even be a
place, for all we know, but rather a
state or a
condition that one passes through.
As to whether righteous people went to Purgatory before Christ came, and then into Sheol, I have no idea. I don't hold a doctorate in Sacred Theology, and at the moment, my brain is fried anyway. So I now head for bed, and I turn you over to nyj, or Kotton, or patriarch, or jukes, or KC, or VOW. Help him out, guys....I'm going to sleep.