Hey Owen,
I think you have to know that the manual that accompany the cheap chinese VFDs are very lousy and not didactical. Usually people don’t really gather knowledge from these, so often they rely on youtube videos which say do this and do that, and set this to this value, but without explaining why, what I find less than ideal since it means you don’t know what you’re doing, or often with very questionable safety compliance (e.g. connecting a spindle without PE wire (!!)).
What I can recommend to you, is to download a good and didactical VFD manual, e.g. this one and start to explore it. It will not have the same settings numbers than those used on your VFD, since these differ with every VFD brand, but this one is full of good and didactical explanation – what the cheap chinese manual let miss. The basic things that a VFD does and the basic settings you have to take care of are similar on all VFDs. I would read it beginning from page one to the page where you start your first spindle test run. It will deal with which wires and connectors you will have to use and give you mounting instructions for the VFD. It will explain you which connections and which basic settings are necessary for a first spindle test run.
I have helped people individually to wire, install, and program their VFD, but that is only possible if you have already made the major part of research yourself (otherwise I would not be able to do anything else in my life 
)
Regarding equipment, if you want to connect your VFD yourself and build your own VFD/spindle control cabinet, you need a few tools for electricians. Of course you need a set of electricians screw drivers, cutting pliers and an insulation stripper. At the moment I use 12 62 180 Automatic Insulation Stripper for electronics and a 16 95 01 SB KNIPEX ErgoStrip® for house installation and power cables (also good for coaxial cable), but of course a traditional insulation stripper will also do.
Usually to build a VFD cabinet you don’t need a soldering iron, since everything is crimped, so what you will need will be a few crimp pliers. When buying crimp pliers, you can choose between buying one for each type of connector, or one crimp pliers with interchangeable dies. Usually for a VFD you need two crimp pliers (or inserts if you have pliers for interchangeable dies): One for Ring and Spade connectors for the power wires and one for Wire Ferrules for the signal wires.
You need to look up which wires you need in your VFD manual. Then you choose and buy the wires …
After the first successful test run of VFD and spindle, you may want to populate your VFD control cabinet with some more accessories. That are usually in the first place relays (with their power supply, if not built-in) to allow your VFD to switch the spindle coolant pump and the dust collection on automatically.
Next step would be to have a smart safety circuit which integrates the emergency stop function of the CNC controller too. Triggering the safety circuit would not only stop the controller’s program and and the machine’s movement, but also the spindle.
If your spindle cooling pump has a temperature and flow sensor, it would be wired to the safety circuit so that in case cooling fails or gets too hot, not only the spindle is stopped by the VFD (while coolant pump should continue to run if the temperature is too high) but also the machine and the running program is stopped then.
Have you received your VFD yet? What is the brand and model name? Did you get a link to download its manual?