Start with 1/8", most common ones. Once you start using them you will wonder how you ever got along without them. Right now Mittler Bros has the best price, but shop around it changes often. They have a package deal for 40 clecos and a pair of pliers, #mb102, $25. Dont get them from mcmaster carr, 3x higher than most other places.
I use 3/32 and 1/8. Mine I got used from an old aircraft mechanic, some I see in garage sales here and there. Bob
I get mine from WWW.browntool.com they sell all kinds of really good aviation tools. Watch buying the really cheap ones because not all clecos are created equal.
I have a box full of 1/8", they work best overall for me. As previously mentioned, once you start using them, you'll wonder how you ever got along without them.
Draw Cleco's are handy, and there is also another type called "Wedgelock's" which use a threaded pin on the top with a special tool to loosen and tighten them. Both of those types very handy for heavier parts or welding appplication where heat can ruin the springs on a regular spring loaded Cleco.
Check eBay. These are used primarily by aircraft mechanics. 1/8" is most common (#30 wire size- copper colored bodies). The 3/32" (#40 wire size- silver colored bodies) may also be useful. You can get them in many sizes up to at least 1/4" diameter. There are a few different styles that use different pliers/tools, so make sure to collect all the same type.