Yes they do come in sets... Here is the Dremel Web Site:
http://www.dremel.com/html/home_fr.html
Try looking at Home Depot:
http://www.homedepot.com/
Or Lowe's:
http://www.lowes.com/
They have good prices, and you can see what the kits have. I like the corded variable speed Dremel, with the Flex-i-Shaft. I use the chuck with drills, and the High Speed Cutters the most.
Some people like th ecordless ones better...
www.naplak.com/modeling ... a free site for modelers
www.scalehobby.com/forum/index.php ... a nice Modeling Forum