The vinyl comes with the "sticky" already added.  As others mentioned below, it is a snap to put up and all you need is a wall, window, automobile or mirror to add the vinyl.  A step-by-step guide to adding the vinyl lettering to your wall can be found at http://www.you-said-it.com/menu.php?go=application 

Good luck!

Meg,

You could buy sticky vinyl and do it yourself, but the sites mentioned in many of these posts come pre-cut (and aligned), and generally much thinner than the vinyl you'd buy yourself, and can come in much finer and smaller print than what is viable by doing it yourself.  The prices range from site to site, but there are some very inexpensive places as well.

I've become a huge fan of these, and find them useful all over- on mirrors, frames, mats, etc. 

Technically yes, you can use shelf paper.  I did this in the past. There are two ways to do this:  cut it into 8.5x11 sheets and print your mirrored design on the paper and cut with a razor blade, or print out any way you choose on regular paper, tape together and cut through this and the vinyl.

The shelf paper has a drawback: it is stretchy and will deform as you work with it.  It also won't last very long. Use this for "chunky" letting styles only - it isn't strong enough to handle a fine line.

You can order sign vinyl online, and it is much better in terms of selection of colors, durability, and resistance to stretching.  It is also very expensive and you'll have a lot of waste unless you plan on lettering a truck or something, too.

I've come across a metallized version recently at about $7 per roll at Target -- looks like brushed stainless -- that has most of the properties of sign vinyl.  It would look good on dark surfaces.

To work with sign or metallized vinyl, be prepared to work with separate sheets of paper that have your design printed on them on your computer printer.  Match up the edges of the design, tape them together, and cut out your design with a razor blade.

Use a chalk line or similarly easy-to-remove guide line on your surface.  Take your time to get things lined up, and remember that any time you are working with a very thin line, you are going to have a fight on your hands and may need two people to keep the piece stabilized as you apply it.  Once it's on, it's on.

You can inquire at your local sign shop or printer that advertises signs and see if they have a cutting machine for vinyl.  If they do, they can usually take a graphic you supply (ask them what formats) on a diskette and cut your vinyl for you.