If you want just want to learn how to build, buy some ready-made wheels from places like velomine, then disassemble and reassemble them. Much cheaper than trying to learn how to build with parts bought separately.
Solid advice, but you can go cheaper yet. Find some clunker or a halfway true wheel in the trash or at a yard sale. As long as it isn't rusted out you can work with it. Then follow AEO's advice to take apart and practice with. It's far cheaper to practice and make all your mistakes on junk.
Then when your ready, buy yourself 14g double butted spokes to build yourself a nice set of wheels. The superiority of DB spokes easily justifies their price. Also avoid light (15g, or light 14g spokes like DT Revolution) spokes and light rims, since both make wheelbuilding harder and you should walk before trying to run.
Here's a link to a very nicely written piece with
lots of advice you'll find useful. Thanks Mike, whoever you are.