1. Either of the crimpers should work. The more expensive one is nice because it has a ratchet which insures that you tighten the pins properly and will probably give a better crimp (its also easier on the hands). The flip side is that the cheaper one wont give you as good of a crimp but it will be more general and allow you to crimp other pin types a bit easier.
2. Use the admins tutorial to find the female side and the male side should have a similiar part number on digikey. If you want to make an adapter look on digikey for "headers". Just check the pin spacing. So if your connector has .1" spacing make sure the header has .1" spacing.
3. For the most part any wire of the correct gauge will work. You can buy a spool of 3 conductor ribbon cable if you want to be able to make a lot of extenders, cables, etc..
A side note is that molex refers to the manufacturer, another name for the connectors is IDC. A lot of the generic connectors will go by that name.