I have had a fairy wrasse from Diver's Den come down with ich after spending a week in the qt by himself.
I am not saying your LFS is bad and intentionally sell you a sick fish, I actually think if the owner knew that the fish was sick or was carrying something he wouldn't have sold it to you. But fish stores have a fast turn over for their livestocks so they themselves might not even catch it before the fish was sold to a customer, there is just no way they can guarantee a fish is disease free so you have to take it upon yourself to make sure. A qt tank is good way to observe and treat with meds if anything shows up.
I like to treat prophylactically with 2 rounds of prazi and then 28 days of copper (with exception to some delicate wrasses) and then I add them to the tank. As for the qt set up its very simple, 10-20 gallon tank with some sort of cover, a heater, a hob filter, a seeded sponge to put in your hob filter, thats pretty much it.