Cheap soldering irons are fine when just starting out. Not so good for surface mount chips though. Me, I built an entire motherboard with a 300-watt soldering gun. (That was long ago, with big DIP components with large spacing.)
What's your location? Some places have little-known hobbyist outlets.
For example, here in Seattle there's Vetco:
http://www.vetco.net/And besides Radio Shack (or Tandy,) do you have a Fry's Electronics nearby?
Other than that, it's mail order.