Jack,
No, they don't have to be 9V. Actually the lower the voltage the better. Since the Xylotex is 35V, and it is recommended that the drive be about 5-10 times higher voltage than the motors, I'd recommend motors rated about 2V or less. But you'll have to make sure the Xylotex will be able to handle the motor's current.
There are really lots of vendors out there. I got mine form KelingInc.net . They offer pretty good motors inexpensively.
I use Mach3 on the lathe.
Daniel