I'd buy it all separately, but that is just because my Canakit power supply failed on me within a few months and I like to choose my Raspberry Pi case will look like.

Also, don't mess with those dinky little heatsinks; they'll either only drop the temperature by 4c to 3c for the good ones, or insulate things and increase the heat instead if it is a terrible one. Suppose, if you really need the temperature drop, and they are the good ones, then give it a go, but you'll need tools to remove them later.

Something like this should work for your PS3 controller, though there are more expensive ones that are just an adapter, if you want things to look nicer.

https://www.amazon.com/Mayflash-Wireless-PS3-Controller-Adapter/dp/B00DSFW5MA/

Made this horribly long post yesterday that organizes all the consoles and handhelds from "easy to set up" to "has issues", then there is biased a list of the things I would buy.

https://www.reddit.com/r/RetroPie/comments/78p55g/i_have_no_idea_how_to_start_building_a_retro_pie/dovw1m4/

I use this + a ps3 controller, but they make one for 360 etc also. Personally I don't like using the controller as the inventory just feels clunky and do as /u/erikmcginnis says and hold down right click.