SPF records are actually text (TXT) records added to the DNS
zone of the domain name that is used in the sending. For example,
if I was adding an SPF record for my company, HostMySite.com, I
would have to find the nameservers that domain uses (ns1.lnhi.net,
ns2.lnhi.net, ns3.lnhi.net) then use whatever method my host
provides for editing my zone file for HostMySite.com on those
nameservers.
If you're using a managed webhost or one with decent support
they should be able to help you figure out exactly what your SPF
record should look like in your case and help you with adding it
(and it may be that they restrict access so they have to add it
themselves).
Now, having said that, let's go back to the original
question. I know that you said you don't want to pay a lot of money
for this, however I think you should be able to find a bulk mailing
service that could cheaply, or your host may have some method of
doing this as well that would let the messages be sent from THEIR
servers rather than yours. While using SPF records help in keeping
yourself from being blacklisted, it's not a final solution else
spammers would simply use them as well. Each ISP and major email
provider has it's own definition of what they consider 'spam' and
how they receive bulk mail. AOL, for instance, will terminate any
SMTP session formed to deliver mail if you try to deliver to 20 or
so invalid addresses in one shot. That's AOL's way of saying "If
you don't know that you've got this many bad addresses in your
list, you're obviously a spammer". Also, AOL users can report your
messages as spam, and if they do so then AOL will consider you a
spammer regardless of whether or not your list is actually valid.
In short, if their users think you're spamming them, then that's
good enough for AOL.
In short, I would definitely AVOID doing this yourself via
your own box - you'll have a greater chance at successful delivery
to all your recipients if you use an established service, and you
won't have to worry about as many ill effects if your messages do
get considered spam for whatever reason.