The best way is to buy a builders pack online. It will save you lots of money in the long run.
The packs usually come with balsa wood for fins, lot's of different tube sizes ranging from a to e, several different nose cones wood and plastic, streamers and chutes, wadding, rockets, ignitors, you just have to buy glue and a launch pad. They even come with guides for getting your fins strait and such. I can't remember where I got my last one but I can tell you a super cool thing to do with them.
First build a rocket.
Next fill the space left from the motor to the nose cone with blasting powder for cannons
Next super glue nose cone back on.
Be sure to use a motor with a kick back charge such as a c6-5 or something like that.
Then launch and watch the kaboom. The kickback which is normally designed to kick your shute out will ignite the powder you put in there and make nice boom. That is all I should tell you for now but there are much more advanced techniques which can be applied. Have fun, be safe!
Here's a cool site I found.
http://www.apogeerockets.com/building_supplies.asp