Cleats should come with the pedals if you are buying them new. You should make sure that the shoes are compatible with the cleats. As for starting out, I propped up the bike, clipped in, clipped out, and figured that was easy enough. Went out for my first ride (with stop signs and traffic lights) and had no problem I've only run into trouble a few times. Mostly because I slow down to wait for a traffic light and hope it turns green before I stop. Some quick unclipping has stopped my falls so far. Of course I could just stop and unclip and have no problem. My biggest problem is stopping on hills (going up) when in traffic. I try to quickly get clipped back in to start up, but when I miss the clip-in, it's a little ugly.

However, 99% of the time, it really is no big deal.