I agree with Eck and Andy(mistermonkeywrench) that it's not too hard, mainly requires patience and taking your time.
Prior to building my wheels with Mavic rims and Hope hubs, I'd already changed the rims on 2 wheels which allowed me to learn the process of truing and tensioning a wheel. Changing a rim just involves taping new rim to old them transfer the spokes over followed by truing/tensioning.
Building from scratch I used some wheelbuilding "how to" articles in an old MTB mag from the early '90's and more info on Sheldon Brown's site.
Think I'll buy the Wheelpro wheelbuilding book though as well, meant to do it ages ago but put it off.