I've heard that some of the Dunk and Egg novellas are part of larger collections books from Martin. I've read two of the standalone comics, but now I want to read the actual words now that the latest book is out. What books do I need to buy and in what order should I read them?
As far as I understand, the graphic novels are intended to be faithful adaptations of the books (I have not read the graphic novels), so I wouldn't expect to get any new plot or character development from them.
Having said that, if you want the original novellas, you can find them in these places:
The Hedge Knight was published in Legends and Dreamsongs II. Personally, I'd strongly recommend you pick up Legends, as it contains stories from a lot of other fantasy authors -- including the highly popular novella New Spring set in the Wheel of Time universe.
(A quick note about the last two: originally the anthologies were published as one large hard-cover volume. For the mass-market paperbacks, they were split up into multiple smaller volumes, for which I've listed only the one that has the Dunk and Egg novella.)
The anthologies are pretty impressive just on their own, so I'd recommend you pick them up. However, if you're only interested in the Dunk and Egg portions, as @TGnat points out, there is now a single volume collection of the first three, called A Knight of the Seven Kingdoms.
The ASoIaF wiki has links to other published editions of each of these as well as some information about possible future novellas.