We need to build credit?

My husband and I were turned down for an FHA loan - they said we would need a co-signer. They did tell us, however, that we should get a couple of credit cards to build credit. We have no current debt and would like to keep it that way. Was this bad advice? All we have right now is a bank check card Visa. What would be a good credit card to go with? What are some bad companies? Any personal experiences?