I never did any metal working and had no experience using a lathe or a mill.  I did tons of reading and used the internet as much as possible for quick free advice.  Bought books on various subjects and now have a nice reference library.  Also got every "Live Steam" magazine from the 1960's to the current issue and read them all. 

The first machining tool I bought was a used band saw.  A good friend of mine (Wayne) lent me his milling machine (yes, that's right, he lent it to me!).  I started with the frame.  I recall reading somewhere that it's unfortunate that the frames are the first thing that needs to be done, especially for a beginner since it's critical that they align properly and can be difficult for an un-experienced machinist.  I made the journals from bronze and used ball bearings for the drivers.  Here's the picture of the finished frame taking up a good portion of my bench. 

It's funning looking at these older pictures as I noticed I painted the whole frame with "blue" marker paint.  Hardly use the stuff anymore.