Pretty well everything you need should be available (eventually). All of my loco projects are currently unfinish-able, while I await parts. Once you determine the changes you wish to make, you can search for the most appropriate parts, which will allow you to get a rough idea of how much your project will cost. I didn't keep track of the cost of parts for "Beeg Boy", but it was well over $100.00. For steam, some manufacturers to check out are: Cal-Scale, Cary, Selley, Bowser, Precision Scale, Grandt Line, and Pia. Older Walthers catalogues have drawings or photos of the parts (I have a 1995 catalogue that does, but sometime after that, the practice was discontinued. You can also write to manufacturers for catalogues, most of which are no longer free. The first four in my list are all in the Bowser catalogue, with all of the others, I think, having their own.
You should also have the proper tools to do the work, as even the most interesting project quickly becomes tiresome otherwise. For any piping, at the very least you should have a pin vise and the proper-size drill bits. A suitably-sized soldering iron is helpful, but you can get by using ca if the mounting holes are accurately done - glue is not a filler.
Needle files are useful, and you should have, at least, a flat, a round, and a triangular one in you toolbox. A small vise can be useful, but not essential. Pliers
are: needlenose, smooth- and serrated-jaw, all useful for bending "pipe" (incidently, pipe sizes are usually given for the inside diameter - Detail Associates have brass and stainless steel wire in a variety of HO scale inside diameters, with the actual outside diameter of the wire being appropriate for that pipe size). Where possible, don't rely on glue or epoxy to hold a part in place - your loco should be capable of withstanding a reasonable amount of handling. Some detail parts have a mounting pin cast into them - drill a corresponding hole in your loco, then use ca or epoxy to re-enforce the joint. Some parts have no mounting pins: for these, drill a hole in an appropriate spot in the part and use wire to fashion a suitable mounting pin.
A Dremel tool can be useful, but is not necessary. I use mine quite a bit, though, mostly with a cut-off disk, for shaping parts or removing details. It's also useful for drilling metal parts.
For carving off cast-on details on your loco, an X-Acto knife is essential. While they have a wide range of blades, I find the #11 and #17 the most useful. Old, otherwise dull #11 blades are useful for cutting the soft DA brass wire - working on a hard surface, such as a sheet of glass, you can easily and accurately "snick" off small diameter pieces. For larger diameters, use a sawing motion, rolling the wire under the blade. For half-hard brass wire (unfortunately, not that easy to find) or music wire, a cut-off disk in a Dremel works best. Cutting pliers will also work, but require the cut to be dressed with a file.
Other useful tools include: a scale rule, dividers, calipers, alligator clips (for clamping small objects), tweezers, machinist's square, razor saw, mill file, and a set of small screwdrivers.
Good luck on your project - this type of work, while sometimes frustrating, can be a very satisfying pastime.
Wayne
I've always been puzzled about that! 
but perhaps useful for steam afficionados. 
