Actually, I think it is something to be entered into lightly - in the sense of having a lot of fun. There are lots of good books and classes out there, of course, but none of that is substitute for hands-on experience. So the best thing is to buy a book and start homesteading where you are - put in a garden, whether in your yard, containers or a community garden spot. Buy some produce at a farmer's market and can it. Bake your own bread. Order whole wheat and corn and grind them. Dehydrate some tomatoes or make jam. Buy a used sewing machine and start sewing. Make a quilt, some candles, soap. Get some cream and make butter. Some goat's milk and make yogurt and cheese. Order a raw fleece and a drop spindle and learn to spin. Raise a rabbit or two and consider butchering them. Buy some worms and compost. Get some wood and build a rabbit hutch, a doghouse, some windowboxes, a new storage shed. Learn to change your own oil and fix your lawnmower. All of these things can be done in the city, no problem.
Livestock and large-scale gardening are a bit harder, but ultimately those are things you are going to learn about from experience when you have them. That's not to say you shouldn't offer to help plant, glean fields, milk cows, shear sheep from local farmers or take classes on those things, but there's so much you can do without those things, that I wouldn't worry if you'd never touched a sheep - by the time you get them, you will have.
Definitely take classes, but be realistic about how much money you can and should spend on this. I'd put most of my funds into acquiring homesteading tools - good garden tools, a grain grinder, a well stocked kitchen, woodworking materials, a sewing machine, rather than coursework of any kind. Most of these things can be learned from friends and neighbors for free, or by trial and error with the help of a book.
Books to buy - of course, you should read everything in sight in your library, but there are some books I'd want to own.
#1 The Encyclopedia of Country Living, by Carla Emery. She's the goddess of homesteading and this is the most comprehensive book on the planet. Definitely buy it ASAP.
#2 As many of Gene Logsdon's books as possible - most are available used. 2 Acre Eden and The Contrary Farmer are good places to start, but you want and need all the ones that pertain to your interests.
_The Ball Blue Book_ for canning, and a good, basic cookbook, like _Fanny Farmer_. A few gardening books - the Rodale Encyclopedia of Organic Gardening is great, as are Rosalind Creasy's Edible Landscaping books. Read but don't buy (until you formulate an alliegence to one style or another) _Lasagna Gardening_, _Square Foot Gardening_, _How to Grow More Vegetables_ (John Jeavons - the title goes on for another week) and _How to Have a Green Thumb Without an Aching Back_ (Ruth Stout). Buy the one or ones you like best, but try some of the techniques from them all.
I'd want at least one more homesteading book, probably either _Homesteading Adventures_ by Sue Robishaw or _Husbandry_ by Nathan Griffith, but that's my taste. You might find others you like better. I would also recommend buying _An Introduction to Permaculture_ by Bill Mollison. It isn't quite a homesteading book, but it will give you tons of design ideas.
Good basic books on any skills you want to acquire - root cellaring, sewing, knitting, spinning, woodworking, baking, auto repair, straw bale building, solar system design, canning.... Frequent yard sales and library sales, or half.com and pick them up as you go. Also, old magazines - Countryside, Mother Earth News, Back Home, Backwoods Home, Popular Mechanics, Fine Woodworking, Kitchen Gardener, whatever...
I'd subscribe to _Countryside_ magazine as well, if money isn't too tight.
Sharon