This pattern is more of a faux Cathedral Windows, and in my opinion, is a better choice for a beginning quilter than the official Cathedral Windows pattern. So I say go for it, but I also second the suggestions that you pick a lighter-weight fabric to replace the denim. Denim will be heavy and thicker, so it will be a challenge to get it through your machine. Once you've made one, you will be better able to decide for yourself if you want to make a denim quilt.
Good luck, and make sure you show us your finished quilt!