Welcome to the wonderful world of Arduino!
Well, I know there are a couple other sites that have their own versions, but I've purchased from Seeedstudio, so I'm more apt to purchase from them!
http://www.seeedstudio.com/depot/harness-for-arduino-megaarduinoseeeduino-kit-p-437.html?zenid=762d9b1fe3ba94145b6970d01e920bac
And I can't recall where, but I did see some screws for the Arduino holes, hex spacers and some others.. if you do find those, please do let us know! 
I need some myself.