I've been watching on Ebay for some pretty yarns, but I'm unsure of how to tell the weight (or thickness - whatever it'd be called!) and what size needles to use accordingly.
Is there a general "rule"?
You can look up yarns at yarndex or the manufacturers site and those should give you the information you need. You can use needles from 2 sizes smaller to 2 sizes larger as those given for the gauge.