Like wood_e said, you can either get one from the dealer or online, don't know about NAPA as there aren't any NAPA stores around here.
Well, lets see, I've never delt with the 4 cylinder, but on the 6 cylinder, in order to get to the thermostat, you would need to remove the engine fan (actually, the fan clutch, as the fan is sitting on the clutch and can't be taken off without the clutch (at least I don't think it can be)). In order to remove the clutch, you need a huge wrench (32mm I believe, might be different on the 4 cylinder). In order to turn the nut, you need to somehow stop the water pump from turning which could be a head ache but if you have a bunch of different length and thickness screwdrivers that you don't care for, you can do it; or you can get a special tool.
Its not a hard job and there ae a lot of write ups on it (this site has a few:
http://www.geocities.com/e36rulz/DIY.html ), just look for something like, replacing the water pump or the like. Once you get the fan off, its all downhill from there, I believe there are only 4 screws holding the thermostat cover in place (I would reccomend replacing this also, they are plastic and crack, like mine did). Don't forget to buy the appropriate gaskets for the thermostat area.
Now, there is another way to replace the thermostat without removing the fan, which is breaking off one blade off the fan but it becomes such a pain in the neck to get to the housing (impossible with all the blades there) and I just don't think is worth a broken fan blade.
Coolant replacement is also a pretty simple job, once again, a few write ups on that site. Bleeding the system is the most complicated part of the whole job in my opinion. There is no dummy flag that pops up and tells you all the air is bled out of the system, its more or lesspatience and intuition. Just devote a lot of time to this and make sure you have a lot of extra coolant. Read some of the write ups on bleeding the system and if some things aren't clear, ask me, its more then enough for another post.
You can do everything yourself and it would make you feel good when your done, but there are some snags and you'd need to devote a whole day just in case something goes wrong. At the mechanic, it should cost you around 200 just for labor so its really your choice. I'll tell you this, everytime I bleed the system and there is still some air in there, I curse myself and wish I had the money to make a mechanic do it properly.
Good luck with whatever you choose to do.