Aaron-- While I haven't tied many steelhead jigs (just starting), I've cast thousands of leadheads for walleyes and bass, and I've been a fly tier for decades.

Many of the materials you want to use are to be found in fly shops, that's also probably the most expensive place. For jig hooks, you'll probably want to shop the internet-- Cabela's comes to mind-- and that source can provide you with other materials as well.

However, a lot of what you'll want, notably chenille and marabou, can be had in craft stores such as JoAnn's, the craft section of WalMart, and other places. The savings are significant; for instance, I just bought a pack of four colors of chenille for $2 that would have cost something like $12 in a fly shop. The caveat is that many of these stores won't have the colors (or materials) you're wanting when you want them. Craft stores can be a hit-and-miss proposition.
Another option is to head for someplace like Sportsman's Warehouse and check out the fly section there. You can usually find jig heads in the store as well, but the cost of those is generally higher than what I said earlier. While you are shopping take a look at Jack's Jigs... they don't cast heads but use a lead barbell for the head. The lead barbells can be had in fly shops in a lot of different weights.

Just be aware that tying, whether it's flies or jigs, can be addictive. But it's a rewarding hobby and one that can keep you occupied when the rivers are out.

Have fun,

Keith