Your idea is very bad. First is the sizing of the gas furnace. You have quoted in terms that tell me that you do not know anything about the needs you have. Second, the only furnaces that you will be able to buy direct are the low end furnaces. You will not be able to buy a quality, name brand gas furnace directly. The manufacturers protect the contractors from unknowing "handy homeowners" that way. This not something to screw with, the heating and air-conditioning systems are major things in the quality of your living space.
If you insist, you can buy furnaces at Home Depot, but they are the low end products. Most reputable HVAC companies will not install homeowner supplied equipment because of the possible liabilities such as improper sizing etc.
Trying to save money this way is not a good idea. Ask for other peoples experiences, I think you will find out what a very poor idea this is.