Greg,
Most wood suppliers will sell CA (superglue) in a variety of viscositys (is that a real word ?!?!?) and compared to the little bottles you buy at your local DIY store it's cheap (but if you don't have a local supplier just use superglue from your diy store, it's not like you'll need gallons of the stuff). As for router bits for Dremels: Stewmac are, to my mind, horrifically expensive for some things especially when you're not US based and as Guitarguy said, there's normally an alternative (but i will admit i wouldn't be without thier router base, the standard Dremel one's crap). I use twin flute down cutters that are manufactured for making printed circuit boards, they cost me between £5-£8 ($9-$15 Usd) for 10 depending on the size, and are plunge point so you just stuff 'em in and away you go and size wise they go from .8mm > 3mm. I've been inlaying for about three years and still make the most stupid cock up's routing stuff out, it's one of those practice, practice, practice things. Oh, about the dust / glue thing: 99.9% of the time, for me anyway, you can get away with just using CA by itself but if you make a horrendous mistake and it's too late to go back and start again just fill the hole with dust and dribble a little glue into it (not a bloody great dollop else you'll be sanding for ever and it tends to look worse than if you'd left it with just glue). Final top tip, if your cavity is a bit oversize and you're worried that you'll see the edge of the blank just go round the blank with black permanant marker before you glue it in and it'll take the eye away from the join.
Jem