Wald's book is excellent, and you should definitely buy it. If you're new to general relativity you might also want to buy "A first course in general relativity" by Bernard Schutz, mainly because it explains special relativity brilliantly, and because it has an introduction to tensors that I think is even better. I found it very useful to have read those sections of Schutz's book before I read Wald.
It might also be a good idea to get a book on differential geometry. I don't know what book to recommend though. I just know that it should be a book that uses an index-free notation. I read Spivak myself, and it's not bad, but I suspect there are better books. Maybe someone else can recommend something.