I never really got the mystique associated with wheel building. --you twist a nut one one way and something happens, you twist it the other way and the opposite happens. Perhaps a bit oversimplified, but you get the point.
I'll second the recommendation for Sheldon's site and associated links though, they're how I got my start.
Go for it!
as a side note, tear up an old wheel and try putting that one back together to get a feel for the thing and to see if you want to spend money on more expensive stuff.
finally, you
can go crazy getting every last thing
just right
Good luck.