All the Home Depot's I've ever been to will cut wood. I'm not sure that's true for all of the HD's across the country, but the ones here will cut the wood for you. Some charge 25 cents per cut, others do it for free. I've been charged all of once for all the wood I've ever had cut... so at least around here, it's typically free (course, that may have changed, I got a table saw a bit back).
However... they will only cut 12" or longer, no less. Which was part of the reason I wanted to get my own saw - besides the hassle of having to run to HD every time I needed shelves or had an adoptive home that needed shelves... I wanted to be able to make shelves and other wooden things without everything being 12x12x12. But 12" ledges are fine, and if you don't need anything smaller, then you'll have no problem.
Around here, a 6' board of 8" deep kd pine is $5.33. Not sure how much it is by you, but that's our local price (that's what I constantly buy over and over). I buy the wood in the lumber section as well - never did check out the moulding, but I try to keep prices low for the adoptive homes, so the cheaper the wood, the cheaper I can price the shelves. Like caiti noted above, I too, go through the wood and try to find the good looking pieces without a million knots without chunks missing -- just boards that generally look pretty good.
Wood glue, as long as it's non-toxic, should be fine. We use elmer's school glue, simply because that way we can use it for other things around the house (just bought 10 of them for 40 cents each at a back to school sale - yay!!), but the wood glue is fine as well, as long as it's non-toxic.