I did a tabletopper first to get the hang of quilting on my machine, and then a baby quilt. When I wanted to learn free-motion quilting, I did a potholder first, and a small wall hanging next.
I never found a class necessary, but it just depends on how you learn. I learn best by doing, without someone trying to give me advice that I won't listen to anyway. Perhaps I should say, I learn best by making lots of mistakes.