It's an excellent idea, but heavens, where to start. With growing a good fleece - clean pasture, healthy sheep, careful hand shearing. Careful selection of individual animals with good quality fleece, skirting and storage of fleeces. All that before you can think about the spinning aspect.
The Ashford Book of Spinning is a good starting point, but it's very difficult to learn to spin from a book. There are many many youtube clips to help, but a great idea is to join a local guild or spinning group to get hands on experience and to see how to do the apparently complex bits (which are easy once you see the trick
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I like new spinners to start slowly - don't leap in and buy the wheel of your dreams before you've spun anything - there are many different wheels and until you've tried a few it can be a waste of money just to launch yourself in at the deep end.
As well as expensive wheels, you can start to spin with a spindle, which costs a fraction of the cost of a wheel, but teaches you the basics and principles of turning fluff into yarn.
Another good idea is simply to play around with bits of fleece to learn about the qualities of wool, how it handles, how and why it holds together when you twist it and draw it out. ie 'finger spinning'.
Enough to start with.......