Just starting with space wolfs myself so know how you feel,
The battle force is a good place to start - you get 20 Grey hunters, 5 scouts and a drop pod, which is more than enough to start playing with a 500 point army
It is also very easy to convert on of the grey hunter models to a rune priest and have a legal force, this will give you a very good core to build from, long fangs are good as are wolf guard ( attached to a grey hunter squad - give a bit of extra punch to the squad)
I'd suggest starting with the battle force and codex, playing a few games once you have the models in the battle force built up and then adding what you feel like you felt was missing
Just as a reference point, this is what i plan to do myself -
http://www.dakkadakka.com/dakkaforum/posts/list/495517.page
The 500 point list can be made completely out of the battle force and is something i think will play reasonable well, ( With the exception of the Melta gun, the space wolf battle force does not included one but you should be able to buy / trade one quite easily)
Hope that helps
Aaron
P.s. As other have said, a lot of online retailer sell stuff at 20-30% of retail as standard, if your on a limited budget i'd have a look at these retails ( not in the US so dont know who is best to look at out thier)