There are thousands of different diode part numbers that would work in this application. If you go in person to an electronics parts store (even a Radio Shack if you have one), ask for a 1N4001 diode; you can also use a 1N4002, 1N4003, etc. up to 1N4007. They should be the same price. You need 6 to make 3 pairs. At retail in onesy-twosy quantities, I'd think no more than 50 cents each.
If you do mail-order, here's an example from eBay and Amazon shipped from within U.S.
They have relatively long wire leads on them.
If you have a handful of wire-nuts you can assemble it without soldering. They key is to note that each "pair" should have the silver band on the opposite side. Hope this makes sense.
