Heatshrink
Don't use the heat shrink from the kits--it usually sucks ass.  I've gotten all of my heatshrink from 
AlTex, an electronics store here in Texas.  You might try 
All Electronics.
Kits
I have used 
several of these kits for sleeving stuff.  Lately I've just been sleeving fans, so I get the sleeving seperately now, but I've probably gone through about 4 or 5 of these kits now.  The heat shrink sucks, but the sleeving is of decent quality, and you can get it in any damn color your wish really.  
These PSU kits are useful if you want a general assortment of connectors.  You very well could go and count up the connectors you will need, and order them seperately and see if it comes out cheaper.  Or if you want to do some kind of color coding.  I used to have all connectors from the primary PSU black, and all connectors from the secondary PSU blue, so I could tell which I was using...
Tools
First and foremost, I absolutely do not advice you buy tools from SVC.  I bought them there first, and the tools were complete crap.  Thye broke with use from the first few connectors of the first PSU I did.  I bought tools from Performance PCs, and I'm still using them (after ~6 PSUs now).
Dual Head ATX tool -- used for 24p, 8pin, 6pin, fan, and misc connectors...
Universal molex tool -- while really not required, I have used this one to get at some stubbord pins that just didn't want to go.
My favorite molex tool -- this cheap little plastic tool is awesome.  It works absolutely beautifully, and it doesn't bend the pins.  I love this one.
Another tools you will want will be a heat gun, which can be found all over for cheap.  Harbor Freight has them for ~$15-20.  Ebay has them for <$20.  I got mine off of ebay.  Yes, you could use a lighter, but I wouldn't recommend it, as it is a lot easier to mess up the work you've done.  Grab a heat gun for the heatshrink.  And you can use it for so many other things as well.  (I'll let Galvanized Yankee tell you about that).
If you really want to do a good job on your PSU, ask around the FS/T forums for a dead PSU, and practice on it.  Get to the point that you know how to extract the pins, and use the tools without damaging pins, etc.  This will also let you get the hang of sleeving stuff, and where to cut, etc.