Yes, all the components will come with the necessary cables. Your motherboard will have your SATA cables for your hard drives/SSDs. Your case will come with the needed screws to install the components inside your case. Your PSU will also have all the necessary cables to power all of your components.
As byza has said, you do not need a static wristband, but considering you're a new builder it may be a good idea to buy one. Plus, they are cheap.
Here is a link to watch some build videos to with some very helpful info
https://www.youtube.com/user/CareyHolzman/videos
Watch and read everything you can on building your system to prepare yourself for the actual building process. Research all of your components for your build and you will be fine. Just take your time and do not rush things. If you are unsure about something, just post your questions here on one of the many other computer-related sites.
Best of luck to you and have fun!