Do all the parts that I order from Micro come with their own wires or do I have to separately buy em

It really depends on who the manufacturer of the part is, and more generally what the part is.

For example, if you buy a motherboard it will usually come with the needed SATA hard drive cables. However if you buy a SATA drive on its own I've never seen those drives come bundled with cables.

Power supplies will come bundled with their own cables, and this is important, DO NOT SHARE CABLES BETWEEN POWER SUPPLIES. They generally have proprietary pin-outs and even if they fit they may not work or could possibly even cause a fire. The only safe cable is the main power one that connects to the wall.

Many phone manufacturers ship a USB cable, but they no longer ship a charger. I've now seen other products that are not phones but still require a phone charger also not ship them as well.

In short, YMMV (your mileage may vary.) I hope this helps answer your question.