I started tying flies several years ago. I bought a Peak Rotary vice. It's a well built vice, but I would have rather bought a kit like this one for the very reasons you mention, Neon. If I bought a better quality vice it would have been the Peak non-rotary vice.

As far as thread, just go to an sewing shop and buy some polyester thread. It's basically super thin fishing line. The transparent nature of it adapts to any color. It's all I use now.