I found Gleim (manuals and test database) to be very good. Passed all parts on first try (however, I have 15 yrs of audit, regulatory, and risk management experience).
If you have limited experience, I would split the exam up. Parts one and two are very much based on the IIA's Internal Audit Standards and should be taken together. Parts three and four are very independent of each other and can be taken together or separately depending on how much time you have to study (and how soon you want your certification...the exams are only offered 2 x per year). Keep in mind that there are experience and education requirements to meet as well.
If you have a good bit of true internal audit experience (i.e. 5 yrs or more), take it all at once.
Regarding studying. If I remember correctly, Gleim breaks each part up into 10 units. If you have limited experience, I would study no more than one unit per week, an hour or two at night. If you have good experience, you can probably do a couple of units per week, scanning the outline/book and focusing on the questions (paper-based on PC-based).
Really focus on the IIA's standards. Not only do they make a lot of practical sense for running an audit shop, they will take you a long way on parts 1 and 2.
The review courses are helpful. Check with your local IIA chapter. The Dallas sponsors two per year (2-3 months prior to each test), and most of the larger chapters sponsor them as well.
You can find links to the local IIA chapters as well as information on the CIA exam at www.theiia.org