There are very inexpensive tabletop models around that can give you acceptable results. A useable drill press can be bought for around £100 or less. You could try making a joint with a hand drill, but I doubt that it would work very well.
You only use one good file for everything.
Hacksaw or Dremel Tool:
Hacksaws are inexpensive and work just fine.
The Dremel tool fitted with a cut-off wheel makes things a little easier.
1/4" by 12" (for the 1/4" ball joints)
1/2" by 12" (for the 3/8" lamp ball joints)
Get this in the small metal stock area at the hardware or hobby shops.
Threaded rod, screws, nuts:
You will mostly use 4-40 threads for balls, and the screws that hold the plates together. For the smaller balls you can use 2-56 threaded hardware. Brass would be best if you plan to solder the balls to the threaded posts.
Tap handle tool
4-40 thread tap
2-56 thread tap
The simple bench vise that I use cost under £20.
You can use 'C' clamps, spring clamps, vise grips... whatever will hold the strips together for drilling.
Locktite (or) Solder:
If you are going to get Locktite, get the red stuff (#27100). The blue is not strong enough. It is also possible to use Superglue, but I don't recommend it. To solder balls to threaded rod, I would recommend a rosin core solder and a propane or butane torch.
Here are some extras that you don't really need to make joints, but they may make your life easier:
I made my jig out of a plate of metal and some aluminum bar stock. The purpose is to align the two strips of brass and keep the proper orientation. The jig also has marks on it that I use to drill holes in the right places. It makes 2 drilling operations alot easier, but you don't really need to have a jig to make joints. Sometimes I don't use it.
Stationary Belt/Disc Sander:
You don't really need this, and I've only aquired mine recently. It sure makes the job of cleaning brass edges easy, though.
I used to just use auto oil as cutting fluid. I've found that for the simple drilling, shaping, and tapping that I do, no cutting fluid is really needed.