Citing your sources is a way of giving credit to the authors who produced the information that you have used. It helps to avoid plagarism, and it also provides a path to the resources you used for readers of your work to follow. Finally, it helps to validate and verify the product that you have created.
You can use style manuals to create and properly format your citations, or you can use a bibliography manager such as RefWorks to automatically create a bibliography from a list of selected references.
The online 15th edition of the Chicago Manual of Style (CMOS) provides the full text in HTML or PDF formats as appropriate. The index makes it easier to navigate appropriate sections.