I hope this isn't too basic but here is a little primer:
The ball band on the yarn will give you a suggested size needle. It means the actual needle circumference. I have trouble with US sizes because they are so arbitrary. Listed below are the metric circumference equivalents:
When making garments, you want them to fit right so you use the pattern to do a test swatch, usually a 4 inch by 4 inch square and make sure that your stitches per inch are lining up with the pattern. (called gauge in the pattern) You may need to size your needles up or down based on that. So if you buy an 8, for example, and it ends up being too large, you may have to size down to a 7 (usually what I have to do).
The length of the circular needle matters also. If you have 12 inch needles and the tube you are knitting is for a tiny baby leg, you will overstretch the yarn when you join it. For a tiny leg and foot (how cute!) you most likely need either double point needles or magic loop. FOr magic loop, you need super long circular needles. You can look up both knitting techniques under the vidoes to see how to perform these.
I hope the info helps!