Welcome to the forum and congrats on starting out with some great gear.
The first things i'd do would be to look a round and see if there are any fly fishing clubs near you--- The Federation of Fly Fishers has affiliated clubs across the country, and they do a great job with education--- casting clinics, tying classes, informative meetings and group trips to local waters. Trout Unlimited although primarily dedicated to conservation of "cold water resources" (trout, steelhead and salmon) rather than a fishing "club", from a practical standpoint is mostly made up of fly fishing folks that often pursue a variety of other fish as well as trout. Both groups have a ton of things to offer for someone just starting out, and you'll learn a ton and meet some new fishing buddies besides. Here's some links for searching:
for FFF affiliated clubs Locate a Club
for TU chapters: Council/Chapter Contacts | Trout Unlimited - Conserving coldwater fisheries
As far as tying, goes, you're off to a great start with your vise and tools. Materials can be really confusing, and the temptation to buy all kinds of stuff will be very hard to resist. I would try and zero in on a few fairly simple patterns to tie that would be good for the fish you plan to chase, an just get the materials for those patterns. Based on what you're chasing, you might consider starting out with some woolly buggers (panfish, bass walleye, trout) clouser minnows (walleye and bass), and some small marabou streamers (crappie, small bass), Gold Ribbed Hare's Ear Nymph (panfish and trout). These are all fairly simple ties and use relatively inexpensive materials, and free step by step instructions and you tube vids can be found on the web.
You should also google "Matarelli whip finisher you tube" to learn how to use the whip finisher that came in your Dr Slick tool kit (an excellent tool kit by the way). This is a key thing to learn to tie off the thread on your fly and is simple to do once you get it down---- but trying to learn from written instructions can make your head explode.
Craft stores can be a great place to get materials---- but for someone just starting out the best place to buy materials would be your local fly shop--- if you have one--- Most shops will have fly tying classes this time of year, and they would be great way to get started. But having folks that can show you material and help pick it out, answer your questions and give you pointers is extremely valuable. Ket us know where you are in Illinois-- some folks might be able to recommend some decent shops.
The next best IMHO would be an on-line shop with a 1-800 number that specializes in fly fishing as opposed to a big box store--- the reason is that you can actually ask a person that can advise you as to materials for whatever it is you want to tie--- J Stockard (one of the sponsors of this site and you can link to it through the banner ad), Feather-craft and many others are excellent sources for fly tying materials.
As far as prices go, this can be a bit misleading in that prices for comparable products doesn't vary all that much, whether it's a big on-line retailer or a specialty on-line fly shop, or a bricks and mortar store-- there are exceptions of course and it does pay to shop around a bit--- but just be aware that you may not be comparing apples to apples if you shop on the basis of price for some materials like "feathers" without considering the specific properties you want for different patterns. For example fly tying feathers might range in price from $3.50 for a 1/4 oz of strung feathers from meat birds to $30 for a decent quality dry fly cape, and a lot more for some specific stuff.
But folks here on the forum are a great resource for you too to help you through this--- ask tons of questions as they come up-- and if you want to buy from cabela's or bass pro for convenience, folks here can suggest appropriate materials for whatever you're tying.