I just built my first wheel a month ago.
My first step was to purchase The Bicycle Wheel (3rd edition) and read it thoroughly. Once you have that down, you essentially have the tools, in print, to build a wheel, however, I took it a step further and signed up for a wheel building class offered through a local "Bicycle Empowerment" advocate here in the city. The class was fantastic, as we actually brought the wheel components and then built it up, getting guidance each step of the way. You could check your local LBS's for any classes/workshops that may occur within your area. I highly recommend both wheel building avenues (for the theory of the book and for the hands of the class).

Other than that, once you have built a wheel, you may find out that it is actually a lot easier than it seems.