TexasCHLforum.com

I'd like to suggest taking a look at these videos on youtube: http://youtube.com/user/PorterhouseV
He shows step-by-step how to set up dies on a dillon 550b progressive press. I'd imagine it'd be useful information for any sort of press, if you happen to choose something different.

As for whether it's worth the cost, take a look at this calculator: http://www.handloads.com/calc/loadingCosts.asp. I think its worthwhile for anyone who shoots with any regularity to at least start planning on reloading, since ammo prices have been going no where but up lately.