You probably just got a puncture. Most of the time the object doesn't stay stuck in the tire, that's why you didn't find anything.
By all means get some Velox rim strips. They come in different widths so measure the width of you rims before you order. A cheap alternative that works well is glass tape.
The best tubes are the cheap ones. The more expensive tubes are lighter and weaker. Walmart tubes should be fine.
I have found that Slime does not work well at 100psi.
Also, there are things called tire liners (Mr. Tuffy) that go between the tire and tube that don't let things poke through. They come in different sizes according to tire size.
The Vittoria Randonneur is the toughest tire that I've seen and will outlast ordinary tires 3:1.
Always buy 3 tires at a time. The front will outlast the rear 2:1.
Nashbar usually has good deals on 700x38 tires.