If it was as simple technologically and easy logistically to obtain and launch a weapon as people here are imagining then there would be far more countries and organisations in possession of such weapons.
I'm certainly not saying it would be easy to get hold of... But those unaccounted weapons are "out there". Check out this paper, for example:
http://www.sciencedirect.com/scienc...=5939061&md5=83905a1e7163cc4b9cb3bd2bed21a499
ABSTRACT said:
Nuclear leakage from the Newly Independent States of the former Soviet Union is an ongoing national security concern of the United States. While little weapons-usable material and no nuclear warheads have surfaced in international smuggling channels, observed data from seizures and arrests are not necessarily representative of the wider universe of illegal nuclear deals. Political and economic upheavals and associated nuclear security problems in Russia in the 1990s accentuated the risk of serious proliferation episodes. Adversaries such as Iran and Al Qaeda have tried to exploit these vulnerabilities to further their nuclear ambitions, although with uncertain results.
When you have thousands of Jihadists whose ultimate ambition is to get access to an atomic bomb, a wealth of nuclear experience in Pakistan (Islamic country with growing sympathy to Jihadists), and plenty of weapons grade fissile material out there, it's not an unrealistic threat. Creating a crude detonator, particularly with a manual trigger, is many orders of magnnitude simpler than enriching uranium.
As for the "if terrorists could possible get hold of a device then some nation already would have" argument, well, we really don't know whether this has happened or not. It may well have happened already. Suppose a nation like Iran or North Korea has obtained a working (or partially working) bomb via the black market; it would be foolish of them to announce it publically - it would almost demand a response from the West. A better strategy would be to quietly reverse-engineer it to become a 'true' nuclear power. Once a nation has the ability to produce as many weapons as it likes, they immediately strengthen their position. You can bomb their factories and invade their country, but you can never be sure you have found / destroyed all their weapons. The threat of atomic retailation will always remain. This wouldn't be the case if they only have access to a single weapon (via the black market).
Like I said before, a terrorist organisation would not face this dilemma. You can't "invade" a group which has no national affiliation and only wishes to cause death and destruction among their enemies.
Also consider the political ramifications of a nation-state being "caught" seeking out black-market nuclear weapons. It's an extreme risk, and would seriously hamper any future nuclear ambitions. A terrorist organisation has much less to lose from being caught - the west is already on a mission to destroy them.