There are a couple of types of needle valves, one that hangs onto your CO2 line, and one that screws right into your regulator... get the one that screws into your regulator. My home depot didn't sell any needle valves that suited my needs, so I ended buying a needle valve (also called a metering valve) from a specialty valve store in my city.
Just FYI, needle valves are not built into your regulator. I found that regulators can only realibly regulate gas output to 15-20 psi. You need a needle valve to reduce this pressure to well below 1psi (ie. 1-2 bubbles a second). Needle valves also act as a checkvalve, prevent water from going into your tank when your gas runs out... it also prevents a CO2 dump when your tank reaches near zero. In a nutshell, needle valves are a MUST for pressuried systems.
HTH
-Richer