What's your budget for a fly tying setup with materials? Can you name specific flies you want to tie? If so, start to research the fly recipes to get a materials list. Not sure where in Western PA you are but there are fly shops around, you should go to one of them and see some of the options first hand. Also, they'll have tying classes over the winter that you should most certainly attend.
Honestly, tying isn't really any cheaper, it's yet another part of the addiction. One might argue that it will be more expensive in the long run. A few of the advantages of tying are: you can make your own patterns or tweaks to existing patterns, you can learn to make flies more durable, and better replicate food sources more suitable than store bought flies for the waters you fish. Perhaps best of all, it's another wonderful aspect to fly fishing that takes it to another level. Catching a fish on a fly that you tied is bested only by watching your buddy catch a fish on a fly that you tied.
In the mean time, here are a few good threads that you can read. We've had similar topics discussed recently.
my thought on fly tying kits
Any headache saving tips for a new tyer? (besides don't start the addiction)