As far as I’m concerned (and kind of confirmed by Wikipedia, if that’s reliable), the concept of Sheol is of an afterlife for all men in which they’re “cut off” from God, so let’s just call the place to our warming Hell.
As far as I know (and as hinted in the Apostles’ Creed as well), Jesus descended into Hell after He died, and remained there until He resurrected. While at it, he brought the righteous men of the people of Israel (Abraham and the descendants that were just and obeyed the Covenant, waiting for the Messiah for their salvation) and took them to Heaven, or at least prepared them to do so once He resurrected from the dead, bringing them back to the communion with the Lord. He was already crucified for the atonement of their deaths and sins, so I see no obstacle in saying they went instantly to Heaven, but if someone has a better understanding on this, feel free to correct.
As for the not-so-righteous men, they supposedly remained there, either dead and awaiting resurrection in order to be judged, or consciously awake for their eternity or until the Final Judgement comes for their own salvation. I mean, some are enjoying their communion with God in Heaven, and may not need judgement as they are already saved, so the Final Judgement is more directed towards this group (and whoelse that became part of it for the last 2,000 years as well). As for Purgatory… Heck, they were waiting for Jesus to come for quite some time now, I guess they wouldn’t need much more clanliness to finally meet their Creator but hey, that’s just me… :shrug: