I am going to be building a guitar soon, and I plan on buying the hot rodded pickup set from SD, but I am wondering if i will need to buy additional wires and such, or just a switch? Will I need to buy any capacitors or anything like that as well?
You'll need the pots, wires, a capacitor for the tone pot(s), wires, and a jack.
The pickups will have long enough wires to get you to the control pots/switches, but, as mentioned above, you'll still need everything else. Stewmac and others have wiring kits that will give you everything you need with the exception of the jack mount plate. They have many different types of kits to meet almost anyones needs. The few I've used from stewmac have never given me trouble and I would definitely buy one of their kits again...actually, I did for my current project.