I'm working on a build now (actually I'm waiting on parts). My approach was to work with my LBS. The parts are more expensive than buying them from ebay (I bought the frame on ebay), but they will happily help me out or give me a clue when/if I get stuck.
I should say that I've taken some Park Tool wrenching classes with them and have stripped my bike down to bare frame and reassembled, so it's not all that mysterious.
The Park Tool site is indispensable; Sheldon Brown's can also be very helpful. The Zinn book (...Art of Roadbike Maintenance) is also good. I have other references, but these are the ones I look at the most. Between these and the helpful folks on this site, you have most of what you need.