After doing a couple of practice sandwiches, I found I needed to do something "real". I made some placemats and quilted those. Then I took a big print and quilted it using outline and echo quilting, using it for the front of a sofa pillow. Then I did a baby quilt. By the time I was done, I was getting quite comfortable. Each of the projects was small enough that if I messed them up I wasn't out a lot of money. However if they went well they were useful.
BTW: Leah Day's site is very good, and what she recommends works very well for her style of quilting - very dense, tight work, lots of double stitching - for wall hangings. It is not necessarily the only way to do things, particularly if you like softer, more drapey items for beds or lap rugs. I have used polyester thread, but I generally prefer a heavier thread (just because I like it!). I also frequently use quite different threads on the top and bottom. If you have problems with that, just keep adjusting your tension until it works with the threads you like. You might also like Patsy Thompson DVDs.
Pam