Mining it yourself in a private environment, or the public test environment (testnet) is very straight forwards. However, in the main live environment (mainnet) it requires significant dedicated GPU time which is not likely to be feasible unless you already have a gaming PC with multiple dedicated GPUs. If you wish to use a private environment, there is some guidance on the Run a conflux node.
To purchase CFX you will need to go via an exchange. As different regions have different exchanges, you will need to research the best location for this yourself. The 123cfx lists a number of exchanges which is a good place to start.