There's a very nice book by Jobst Brandt called the Bicycle Wheel. I'd say that is the first tool you should get. It provides not only step-by-step instructions to build a wheel, but it also provides you with an understanding of how the bicycle wheel works-- that understanding helps the step-by-step instructions make a lot of sense. It also covers the tools you may want to have in detail.

If you're really handy and want to do it on the cheap you could build a wheel with nothing more than a bicycle turned upside down (using the fork) and a spoke wrench. I like to make things a little easier for myself so I have the following tools: truing stand with an indicator to help keep the wheel centered properly (Performance brand); spoke wrench (Park); spoke tensionometer (Park); and dishing tool (Park). The tensionometer determines spoke tension by measuring the deflection of each spoke for a set stress (the Park tool comes precalibrated so that you can relate the deflection of a spoke of given material and diameter to the actual tension). The dishing tool will tell you absolutely if the wheel is centered with respect to the hub. I found that the indicator on my Performance truing stand got my wheel close enough to center that the dishing tool hasn't been absolutely necessary.

I found that when using a new rim and spokes and a tensionometer that the process is very easy: if you increase all the spoke tensions uniformly the rim remains round and true. I simply followed the instructions from Brandt's book and the first wheel I built came out perfectly, and it has remained true for quite a while now.

The whole process is very satisfying; I really doubt you'll regret the investment in tools.

Sincerely,

Henry