I bought an Engineer PA-20 crimping tool from eBay (an Ireland or UK importing them from Japan, he shipped it me from UK). Good tool, does headers, molex, pci express conectors, etc no problems with it.
Here's the actual eBay page for it, I still have the order email in my mail client:
http://www.ebay.co.uk/itm/universal-mini-crimping-tool-molex-jst-amp-crimp-terminal-pliers-engineer-pa-20-/261110204270?ssPageName=ADME:L:OC:US:3160I buy my stuff usually from Farnell because the shipping is cheap.
As usual (murphy's law) when I want to give you links the Farnell site is down (some dns error).. anyways, copying the product numbers from invoices, you can paste the numbers in search box on farnell's site and they should point you to actual products.
I bought the metal connectors from Farnell, in bags of 100:
http://uk.farnell.com/harwin/m20-1180046/contact-socket-30-22awg-crimp-pk100/dp/1022220 Kind of expensive (around 10$ after vat and all that) because it's Harwin but I was too lazy to search for their "Multicomp" (farnell's brand, buying bulk from others) versions of the connectors, or te connectivity brand or some other.
The plastic headers are super cheap, there's a whole series on Farnell under their Multicomp brand ... some examples of what I stocked below
code , min quantity, price each, series, description (at least that's what it in July 2013 when this invoice was made)
1593506 10 .0540 2226A-02 CRIMP HOUSING, 1 ROW, 2 WAY
1593509 10 .0720 2226A-05 CRIMP HOUSING, 1 ROW, 5 WAY
1593522 10 .2700 2226B-10 CRIMP HOUSING, 2 ROW, 10WAY
2291047 is the number for rolls of 30 meters of 28AWG wire, black, but it's kind of expensive at around 14$ for one roll. I needed black with as little text as possible on the wire itself for some computer case cabling mod so the price was not an issue.
If you only need small lengths you can cheat and buy from eBay or pc stores IDE cables for under a dollar a piece, and you basically have 80 x 40-60 cm and 80 x 20-30cm (smaller strip between the two ide connectors) of awg30 cable. For example, here's a set of 2 cables for 4$, 3.5$ each if you order at least 3 sets.
For hobby at home you can also cheat and get stranded network cable (for flexibility).. you get 8 insulated wires inside (i don't know the exact gauge, maybe awg24?) AND they're all different colors for way under half a dollar a meter. The cheaper cables are copper clad aluminum but for small projects aluminum or copper won't make much of a difference.
For example, monoprice has 305 meters (1000 feet) of stranded network cable for 85$ :
http://www.monoprice.com/Product?c_id=102&cp_id=10233&cs_id=1023304&p_id=886&seq=1&format=2 Be careful not to get solid CCA (copper clad aluminum) cable if you go this route, the aluminum will break easily with bending of the wires.
Farnell.com is element14.com or Newark.com in US. Codes above should work on newark or farnell or element14 when the site works.