I think a 404.php page would be very helpful and I'm surprised Studio Press themes don't ship with one. I would ask the SP guys how to implement a 404 page. That should take care of the issue.
However, if you want to display some specific store information on your 404 pages, you can create a new custom view in the Factory ( The Factory > Your Store > VIEWS > CUSTOM VIEW > Create a new view). Then name the view Missing Product. Then add whatever modules you want to the page. Now when product URLs result in 404s, this new Custom view named Missing Product will be displayed.