Jumping in about 4 years ago, I was about where you are now. The internet provides lots of great resources.
Buying locally or online is a matter of your preference. Often, local expertise is worth a few dollars more in out-the-door prices.
I would highly recommend that you look for a local O gauge club in the area - when I got interested, I was lucky enough to join a great group that was just 15 minutes from home - Boothe Memorial Railway Society, in CT. They were very welcoming and had lots of answers for my many questions and ideas!
And stick around the forum - lots of help available and plenty of opinions!
Ed