The lipids are commercially available it then depends what your preferred choice to make the liposomes is (and what size liposomes you'd like). For small ones (around 25 nm diameter) you can use tip sonication if you have access to a tip sonicator. Otherwise I'd recommend getting an extruder, you can buy them here for example: http://www.avantilipids.com/index.php?option=com_content&view=article&id=509&Itemid=292&catnumber=610023 easy to use and you get liposomes of approximately the pore size you buy.
As stated before, you can make the liposomes yourself. It is not rocket science, but it requires some skills.
There plenty of lipids, of different classes, that you can use. Different lipids, different characteristics of the bilayer, different physicochemical properties of the vesicles. You can start with a very simple and cheap composition, like DPPC/Cholesterol 2:1 and then adapt it. Thin film method is the easiest and more controllable for a beginner.
Talking about methods, first you have to ask yourself if you want to encapsulate the protein directly or encapsulating it into pre-formed vesicles. Since you will use a protein, I advise you to go for the latter via freeze/thaw method. To prepare empty vesicles, the extrusion technique is monkey-proof, but the extruders are pretty costly if you have to prepare just a few samples.