Buying yourself a kit has benefits besides variety. Cases protect people from knives and blades, blades from damage like chipping or being splashed (rust) and organizes yourself. Magnets hold the blades in place.
There are straight edge blades, (middle) slightly curved (left) and larger curved, (right) as well as longer / wider and a few serrated ones. Different blades have their uses and it's more up to you to decide when to use what - usually depending on angle, curvature, width, size, tightness, etc.
Other handles allow you to get different grips on knives for finer work or getting a firmer grip to apply more force for sawing, carving, chiseling, etc.
While you're at it, take a look at my Hobby Safety post.
To assemble them: (from right to left, photo above)
- The blade fits into the chuck.
- The chuck fits into the sleeve.
- The chuck screws into the handle.
The use of them is just simple mechanics. (photo to the right)
- As everything tightens, you can start turning the metal sleeve to tighten the chuck.
- As the chuck is screwed into the handle, the sleeve applies more pressure on the tip of the chuck.
- This squeezes the four corners of the chuck together, tightening on anything that's gripped between them.
This works just like how you use hobby drills.
Sometimes, because of the forces on your knives, the sleeve and the chuck may become stuck together. In usual situations, there will also be a knife blade in there too. The last thing you want to do is try and pull the blade out when it's stuck.
The safest thing is to prop the end of the chuck against something and pull the sleeve back. If you have to hold the blade while applying force to remove it, cover the edge in electrical tape to reduce the chance of cutting yourself.
Hobby knives and their kits can be picked up at most hobby shops, hardware stores, and possibly electronics, art or craft stores. The kits I usually tend to just see in hardware stores, except for hobby stores sometimes carrying ones with a few other blades. X-Acto tends to be the brand that everyone carries. (At least here in North America)
Stores that carry the knives will usually carry spare blades as well - unfortunately this doesn't often extend to the oddly shaped blades. Usually you can only find the surgical blades in store. X-Acto's website or a little bit of Googling shows that you can order replacements online.