From Makershed "This crowd-wowing kit is simple to build and perfect for individuals, small groups or science classes. We included almost everything you need to get started right away — just add a bicycle pump, tape (masking, duct, electrical and Teflon recommended), two 9v batteries and you are ready to blast these paper and tape rockets hundreds of feet in the air with just a few pumps."
Full details, and a video, from http://www.makershed.com/Getting_Started_with_Compressed_Air_Rockets_Kit_p/mkrs1.htm?Click=37845
Makershed is the retail arm of Make magazine. It's a treasure chest of rare parts and interesting kits, I could easily spend hundreds of pounds there, but it isn't what I would call cheap.
This kit is a good example, everything you need is there and you can be confident of getting good results quite quickly, although a more experienced maker could probably make something just as good for far less.
I am sure that if you buy this you won't be disappointed but for those of us in the UK don't forget the ridiculous price we get charged postage and packaging. (Why is it always cheaper to ship from China than the US?