I suggest before you make a pair of socks with sock yarn that you make a pair of house socks with worsted weight yarn. You can learn about sock construction and become comfortable with the technique before you start knitting with size 1 or 2 needles and thin yarn.
I learned on this pattern and it's great! It has instruction for different yarn weights. This one uses double pointed needles (DPN).
If you prefer to magic loop or use two circular needles I can find a pattern for those, too.
Beyond that..a good sock yarn should have nylon of some type in it for strength. Merino or wool is good for warmth. You can find a few sock yarn types in the craft type stores (Michaels, Joann, etc), but you can find more on in LYS (local yarn stores), but it will be more expensive. Start with the less expensive stuff then move on if you choose.