I bought one at Princess Auto (think Harbor Freight) for around $10. It's not a great regulator, but it reads from 5psi up to 150psi, so it works for me. Try Wally-World or Lowes or something. You can easily spend $35 and up for an "airbrush" regulator, but I wonder if they're worth it.
Putting it on is easy, as long as you match the threads. Mine is attached to a 'normal' airhose, the kind you buy for garage compressors (because I use a garage compressor!) and it's a 1/4" NPT. Wrap some teflon tape around the male ends and tighten. That's it!
I'm at work right now, but when I get home I'll take a pic of my setup and post it.
Cheers,
Bill