I have had more queries about starting out making wigs. As a result, I have added a search box to help people find information in previous blog posts. Please use it before contacting me, as I may have already provided you with the information and answer.
To recap, this post is helpful for anyone getting started: http://makingwigs.blogspot.co.uk/2012/05/how-to-get-started-in-wig-making-and.html
I definitely suggest getting the book (and no, I am not an affiliate/don't get paid to say that!), as it will help you to learn wig terminology and provides a useful reference tool, as well as plenty of inspiration.
Wig making supplies -
My UK recommendations are here: http://makingwigs.blogspot.co.uk/2013/01/where-to-buy-supplies.html
There are others in Europe, but for various reasons including price and ease of ordering, these would be my preference if you are living in Europe. You should be able to order from those companies internationally too (so if you are in the US or Canada, don't discount them), but obviously shipping costs may be prohibitive.
If you are in the US, then His and Her sell wig making supplies. There are other places that sell bits and bobs, but His and Her has the widest selection. Alcone Company sells some products and is worth a look: http://www.alconeco.com/Products/Character/Wig-Making-Supplies I have not used either of the US companies - shipping is too expensive and I can get what I need on my side of the pond, so to speak.
I shall also start a glossary of terms, so that people who are confused what various terms mean can refer to it.