I'm with Ratboy. Get on a course at your local college.

I did 2 nights a week for a year. Cost about £500. I only wanted to learn to weld for my projects but ended up with a internationally recognised welding qualification as a bonus. A couple of the guys on my course have since emigrated on the quallies they gained.

All the test pieces on the course are examined and destruction tested. Its nice to know that you can perform strong welds in safety critical areas. If you self learn your welds may look great but could still fail easily.