Preamp 101

Hi, I am going to build my Hi-Fi system but has little knowledge about this. I already got the following pieces.

Parasound A21 amp
Thiel CS2.4 speaker
Rega RP3 TT w\Extra II cart

Now, I am looking for a pre-amp and have no knowledge about how this works. Take the Wyred 4 Sound STP/SE preamp as an example, I can't see any input for Phono, does it mean that I need another Phono preamp? Also, there is no built-in DAC for this preamp, do I need to get an external DAC in order to make the whole system work ? Thanks a lot.
Yes & Yes. There are pre-amps available with phono sections and there are pre-amps available with Dac's. Good ones with phonos are, however, not particularly cheap unless you get an older used one. My impression about DAC's 'added' is that they aren't so good and usually only seem to appear in lower quality pre-amps.

Personally, I would expect to add a phono pre-amp and for digital I would get a CDP which has provision for input from additional digital source(s) such as the Marantz 8004.

FWIW in your position you might do as well, if not better by getting an integrated amp with a phono section. They do exist and will be easier to use. An integrated with phono and a CDP with digital input will replace (potentially) five separate components, DAC, Transport, Phono pre, amp and pre-amp.
1. if the preamp you're looking at doesn't have an inboard phono preamp, then you would need a separate phono preamp. you're probably best served getting a preamp with a phono input--if you specify a budget you'll get many recommendations.
2. you don't need a separate dac unless (a) you're using digital sources such as a cd player, and (b) you're dissatisfied with the quality of the dac built into the digital source.
Thanks. I listen both cd and vinyl, my budget is around $3000 (used or new ones) for the preamp. Any good recommendations?
I can only talk about tube pres from my recent experience. VAC Standard w phono stage would a good choice, well under your budget. Another possibility would be CAT, but you have to be a bit careful as the CATs are pretty high in gain and w a stepped volume control it can be hard to get the level correct. Or a Joule w built in or outboard phono.
i'd look at something like the parasound p7, which would be a good match for your amp.