So, first of all, about the picks.
If you are in America and buy just single picks bellow 15$, the shipping is only 2$. So you can make that count.
On the regular picks, you have some for about 5$ and 1,65$ each. The only difference between them is the handle. I have bought both and to speak the truth, I now prefer to buy the cheap ones, and use duct tape on the handle. It's a personal preference. To start cheap you could go with those, as they are still Southord's quality, and almost 3 times cheaper than the normal ones.
If you want to do that, my advice would be:
Half-diamond:
http://www.southord.com/Lock-Picking-To ... SP-07.htmlShort hook:
http://www.southord.com/Lock-Picking-To ... SP-09.htmlSnake Rake:
http://www.southord.com/Lock-Picking-To ... SP-10.htmlLong Rake:
http://www.southord.com/Lock-Picking-To ... SP-12.htmlSlim-line short hook, for tight keyways:
http://www.southord.com/Lock-Picking-To ... LS-07.htmlThat would be 8.7$. The picks you WILL bend are the hook and the diamond. So you could get 2 of each. I say you will bend because most of us use too much force in the begining. If you get 2 each it will go up to 12$. Add 2$ for the shipping and you got a nice pick set for 14$ flat. Don't need to get 2 of the slim line, as it's a pick you will use not that often, so don't worry.
I covered mine with tape to make the handle a little larger:

It now feels very good in my hand, and you can put more or less tape, if you want it thicker or thinner (thicker is usually better, but it's up for you to test.
About the tension wrenches, there are a lot of tutorials around here on making them. Basically to start, you can grab one and put a 90º bend on it's tip. It's the basic one:

You can also make a Top Of Keyway (TOK) wrench like this with a wiper blade insert (it's usually thinner, works wonderfully):

For measurements, it's about 2inches long. One of the tips is slightly longer than the other one, for locks with a deep keyway. Here's how I use it:

You can make a ton of tension wrenches that way, but it's something you will have to build upon your tastes and experiences, I just gave you the ones I use the most (I also use pry-bars, but they are bought, not homemade).
I hope to have helped you to get a cheap nice set to start off. With time you will learn how to chose your tools, so you don't need to spend too much for now.
Concentrate on spending money on locks
Anyone who would like to chime in is appreciated too

Go ahead, keep plugging away, picking on me! You will end up on bypass or with rigor mortise.
- GWiens2001