If your kit comes with all the components, get them together and separate them into groups: capacitors, resistors and diodes, transistors, and hardware.

If your kit does not come with components, you will have to shop for them using the list supplied in the kit. You can visit a place like Microcenter, or you can purchase components online from Small Bear Electronics or Mouser.

Each component type has its own marking convention. Sometimes you will get a guide to the colors and sizes you are given, sometimes you will not. I have attached the guides that helped me most decode all the numbers and letters and colors.