We just started Nature Study not too long ago too and LOVE the Peterson field guides. They are inexpensive and have been great to use. Also, I was in a children’s book store a few months ago and they had coloring books put out by the same people that go along with the Peterson field guides. I highly recommend these as well. They are gorgeous coloring books (not something I say very often ;0) ).
I’ve only bought a few of the field guides so far and amazon.com did have some of them for their 4-for-3 special, but not sure if they still do. I started with a tree one for our region, insect one, wildflower one, and bird one.