You'll need to buy/build a mash tun as well.
Building a mash tun is easy and should be under $100 for a manifold setup like I made.
Link? Any lessons learned from when you did it?
I didn't document any of it, but I'll run through it quickly. I got a 10 gallon cooler from Lowe's. Took the spigot off by unscrewing the nut on the inside of the cooler, kept the gasket. Got one of these that was even shorter, it was just threaded ends with no smooth pipe in the middle. 1/2"

Also, a ball valve, (2) 1/2" nipples (one male, one female), some washers, and a rubber o-ring.
Male nipple->ball valve->pipe->gasket->cooler->o-ring->washer(s)->female nipple
From there I used press fit copper pieces and bought some straight copper plumbing pipe and made something that looks like this
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--T--
I cut all the copper to length so it fits snuggly in the bottom of the cooler, and used a couple inch piece of high temp tubing to connect the T at the bottom to the inside nipple. I think took a dremmel and slotted all of the long pieces of copper. I put all of the pieces together on brew day, put it in my mash tun, then feel the underneath to make sure the slots are pointing down. Throw the grain in, add water, stir, mash out, then take it all apart for cleaning.