ORIGINAL: MinnFlyer
It's quite simple really.
Places like Home Depot sell individual taps along with the correct drill in the same package.
Buy the most common sizes (4-40, 6-32, 8-32, 10-32, 1/4-20) and then drill holes in a block of wood so you can put each tap in its hole with its corresponding drill right next to it (And make sure you put them back in the block when you're done using them!).
Lowes sells a small set of taps in the sizes that Minn mentioned above with the corresponding drill bits. They come in a small storage case that keeps them all sorted and ready to use. It was well worth the money as I have them neatly stored and ready to use. And was nice to get just the sizes I use the most for this hobby and not stuck with a lot of larger taps that I wouldn't use too often.
Ken