Go see someone do it end-to-end before doing it yourself, though. A lot of what you do is visual, so you need to know what "looks right."
While that's undoubtedly the best way to do it, that's not the way I did it. I'd never seen anyone do AG before I started. I just read a lot of books and the usenet group rec.crafts.brewing and jumped in. Once I was done, it was kind if like "wow, is that all?". The point being that if you can't brew with someone else to learn, don't let it stop you.
I agree totally. AT least two people I know started brewing all-grain from their FIRST BATCH.
As for me, I brewed extract for quite a few years, thendoing partial grain, but when I saw what grain could be had for in bulk, it was a no brainer taking the plunge to AG.
Like Denny, I read everything I could get my hands on and went in well prepared...and the very first AG batch came out really good. My reaction was much like Denny's..." ...is that all there is to it?" At that point I felt sort of dumb for not switching much earlier after hemming and hawing about it.
As far as extra equipment expense, it doesn't have to break the bank, not by a longshot. For 20 years or more I've been brewing all grain with a 5 gallon round Rubbermaid/Gott cooler ($20); a false bottom for the cooler (a gift from my LHBS for referring a load of business to them); a counterflow wort chiller ($35), a home made 220V/3000W electric keggle with a false bottom (around $120)...and miscellaneous hoses, copper tubing, and other ephemera totalling no more than $40. A total of $215 over the course of a few months...totally manageable and it did the job and continues to do so.
In the music world, musicians who like an array of gizmos, FX boxes, and have to have anything that's currently state of the art are often referred to (often by themselves) as "gear sluts".
Brewers can be that too...so, I mean, get fancier if you can afford it and like to fuss around with the gear, but it's absolutely unnecessary.
You can make beer just as high quality with picnic coolers and other repurposed vessels as you can with a multi $K automated system.
Then you'll be ready for that SABCO rig when your lottery ticket finally wins.