You can buy the cat grass if you want. It is not something they can't live without. The whole point is to give them something they would have in the wild. You could even just grow a large pot of untreated regular grass for them. It is really just giving them some more things to enjoy!!
I give my older cat Mollie Rose kitty grass. I buy it at the pet store, it's called Cosmic Cat Grass. All you do is follow the directions and within 5 days you've got grass. Kitty grass helps with their digestive system. It also helps them if their stomach is upset. I don't give it to her on a regular basis, though. Also, beware of one type of grass that's sold. It comes in a square plastic container. You peel back the top and add water to it (the grass seeds are in some sort of gel mixed in with the soil). I tried it once and Mollie actually ate the gel and she got real sick. It irritated her throat and made her miserable. Personally, the best way (if you're not lazy like I am) to grow grass is to buy the Cosmic Kitty Grass Seeds, potting soil and plant it yourself. Put it in a nice sunny window and VOILA!! You have kitty grass. Every once in a while, cut it back and it will grow fuller (like the lawn you hate to mow). If you grow it yourself, there are less problems.
Most "Kitty Grass" is just a mixture of Barley and oats. It will sprout in vermiculite if you don't want to plant it in the house with earth. Just make sure the container is weighted down as the cats have a ball spreading it all over the place!