Your best bet is to start with a local teacher. If you are too far from such a store, then youtube is your best bet. Starting out with a heart is often recommended because you have to practice all the basics - inner points, outer points, curves. I made a quilt of my first 120 hearts - I could see my improvements over time. One hint - a toothpick is very useful in helping you get that fabric tucked in.
There are several methods for needleturn - basting, pinning, glueing... I'm sure there are others. I've been trying them all and find some work better for me than others on different types of projects.
Here's a youtube example.
http://www.bing.com/videos/search?q=you+tube+applique&FORM=VIRE1#view=detail&mid=E45A59F3A29E5A2DB89AE45A59F3A29E5A2DB89A