The best guide I've seen was this: http://www.troubleshooters.com/bicyc...ding/index.htm
Far more detailed & thorough than the one on sheldonbrown.com.

I've only built one wheel but I practiced on some older cheaper wheels beforehand and found the experience completely different - the practice wheels were of low-quality components and were a lot of hassle to work with. My new wheel, however, was made with high quality components and the process was practically effortless - no mystery imbalances in the material to trip you up, no low quality spoke nipple deforming when you least expect it.

So - practicing on cheap stuff might help you get the process straight (how to lace) but it's not a 1:1 carryover to building a wheel from high-quality components.