Sport Chalet carries fly tying materials. You can get a nice little bobbin for flies there. Then you get something like Gudebrod, a rod builders thread, size A. Its not too hard to find online. I use fine living rubber for skirts. Once you find it, a medium sized package ties a lot of jigs. As far as leadheads go, you can get them prepainted and its much easier. If you have the time, you could save a bit of money and buy unpainted, then coat with powder paint or vinyl jig paint. For you, it makes more sense to buy prepainted. Superglue holds the threads together just fine, done need much. But the Bass patrol are good jigs also. Once you open up the world of jig tying, you can make more and custom colors as mentioned, tho if you tied brown/black/green-olive you would be more than set IMO. And once you get going, you save a lot of money.
Here's a shop I use for jigheads:
http://www.elkenlures.com/
And here is where I get my living rubber:
http://www.lurecraft.com