Peyote stitch is typically worked with delica beads or a good quality seed bead. I highly recommend starting with larger beads like the perler beads to practice. Perler beads now come in a mini size which would be great to practice with too and are much more comparible to delica beads. Delica beads are consistant in size which makes for prettier and easier stitching of the beads. Size 11 is the most common and there are tons of colors and finishes to choose from. I get most of mine from http://www.fusionbeads.com/
Let's get started:
You will need beads in two colors
size 10 0r 12 beading needle
beading thread. I recommend using nymo thread for practice. Don't forget to condition your nymo thread. To condition it, simply pull on it stretching it out a bit and taking the curl out.
Watch the video for complete instructions. Please let me know if you have any questions.