Yes, you need a set of gels. They come in full sheet and half sheet sizes and there are usually a few people selling small sizes on fleabay - use Lee lighting filters as a search term.
There's an incredible range of different colours, my advice is to stick to the primary colours and ignore all or most of the subtle shades. The reason for this is that the colour saturation depends on the level of exposure - the higher the exposure the less effect the gel will have, and the reverse is also true - if you want a deeply saturated colour then you simply underexpose. You can of course also combine colours, assuming that you have enough lighting power, to give different effects.
If you have large sheets you can simply clip them to the front of a softbox with clothes pegs, or use masking tape. If you only have small pieces, put them close to the flash head. If you're not using a softbox just fit them to the front of the light shaper, again using masking tape. Don't bother with those fancy gel holders, they're a waste of time and involve cutting the gel.