Thank you for joining our community and we're here to help out with your project. Sounds like you're at a great stage to install your new heating system, and adding supply and return vents as well as the ductwork for a few rooms can be done by following a few key steps. Since the lower level is being finished off, make sure your HVAC central unit will be able to handle the load of extra ducts in terms of air flow and returns. Also, be sure to check any local codes requiring any specifics on HVAC additions in your area.
To start out, come down to your nearest Home Depot and our folks in the plumbing department can help you out in our HVAC aisle, here's a checklist in picture form of a basic few things to begin your project.
Now that's the big stuff you have to have but also there are products such as duct sealant in caulk tubes, handsaw, duct work straps to hold the work up, sheet metal screws, and dampeners as well to get for the project. Of course, I didn't include your typical 'toolbox' tools such as a hammer as I am sure you already have those. Considering this is a broad project, remember to plan out precisely where and how you want your supply (good air) placed in accordance with the bad air (the returns). After doing so, you'll need to figure out as well any Tee's or any other adapters to place in the ductwork to maximize the efficiency of the air throughout the system. You're benefiting from not having any drywall up, so placement of everything is going to be a cinch with proper planning and accessibility to the existing system.
Here's a few key points to consider when installing new duct work in a home:
Here are some great videos as well for any further questions or concerns you may have as well.
http://ext.homedepot.com/video/?bcpid=207606409001&bctid=111671961001--planning out ductwork
Hope I have answered your questions and thank you again for joining the community!