Ok so I've been fly fishing for about a year now, so I figured that it wasn't all that long ago I was in your boat and that I might have some wisdom to offer. I'm in the Oklahoma City area and it sounds like you guys have a lot of options when it comes to fly shops. We pretty much have Bass Pro or Backwoods. My advice is to visit several fly shops, pick the one you like best and then have that become your regular shop. For me, since Bass Pro is closer that's the shop that I spend 90% of my fly shop time. I've gotten to know the guy that runs the fly shop there and have gotten some really good advice on technique, fishing areas, fly selection etc. It's become a ritual of mine to make a trip to Bass Pro before every fishing trip and talk to the guy there about wherever it is I'm going, what the hot fly has been at that river lately, and obviously pick up any gear that I need for the trip. You'll quickly find out that there's more to this sport than can be learned in a lifetime. That being said I do feel like I've learned a tremendous amount about fly fishing in the last year, and a lot of that has come from sitting around the fly shop talking to people. Of course there's no substitute for on the water experience.
With all that being said, as far as buying flies go, if you visit some various shops you'll figure out that flies are pretty much the same price everywhere. I think they might be a little cheaper at Bass Pro than say a Backwoods, but then again Bass Pro tends to carry flies that I consider sort of generalist patterns which is totally fine 99% of the time. If I need a zebra midge or a hare's ear, I know that I can get that at Bass Pro pretty easily. If I'm going to the lower Mountain Fork and I plan to fish a BWO or March Brown hatch, then I probably need to stop by Backwoods and pick up some flies there, or better yet, stop by the fly shops down there to pick up flies.
I do like to tie flies myself, but unless you're gonna tie 100 flies of a particular pattern, it's usually more cost effective to spend 10 bucks and get 5 of the flies that you're gonna use on a particular trip than to spend 25 bucks on materials. There are some patterns that you'll find you can never have enough though, like woolly buggers for example, that it makes sense to invest in the materials to tie whenever you start running low.
I've also found a great website for buying flies cheap. Check this out
http://www.theflystop.com. They sell flies for a fraction of what you can get them for at most fly shops and they're pretty good quality as well. This might be a good place to look if you're gonna do a lot of bass fishing as poppers and streamers tend to be pretty expensive.