good start

If cfo already told you to report anything wrong to him, you can just go chat with him. do not have to report anything, just chat to get to know each other and set up good relationship. who else can be a better sponsor for you than cfo? If you have to talk about sth, then talk about personal development. It is one of the management's responsibilities to develop people for the organization.
But do remember you can't count on them for things that only benefit you. Whenever you ask for sth, the first question in their mind is "what is it in there for me?" So make sure whatever you want can benefit them too.