You do have to buy all new molding and that molding could come from a dealership, GM Parts direct or sometimes you'll find it on eBay.
You'll need to remove your stock molding as if you're demolding your vehicle. Make sure you mark somehow where it was before you take it off, though, so that you can put the new molding back on in the same place and doesn't look out of place when it's too high or too low. Once the old molding is off reapply your new molding. If adhesive doesn't come with your new molding get some 3M tape (and get the good stuff not the el cheapo stuff) and that should work fine.
Does that make sense?