You should be able to pick up those parts at just about any hardware store that sells plumbing bits. I've helped several people put them together and they're really easy. If you want to use a probe thermo instead of a threaded dial thermo, you can use a 1/4" compression fitting for that and either use several o-rings, or something like this, which seems to work much better IMO.
http://www.homebrewtalk.com/f11/thermosight-twist-28815/
Let us know if you want a specific parts breakdown.