I wind my own with the built-in winder. I like matching my bobbin thread to the top thread and don't want to have to buy tons of prewounds to ensure a color match. My machine (Gammill) isn't picky at all about thread - I've even used Isacord embroidery cones to get the color I wanted (okay, I wanted that color right now without waiting and I had it on hand with my embroidery supplies) - no problems. You just need to see what your own machine will tolerate.
If your machine comes with lessons, by all means take them. Mine offered a maintainance class that was extra but well worth it. After you've gotten used to your LA, take classes from some of the nationally known quilters if you get the chance. You'll be surprised at all the tricks and techniques you can pick up from them but it really helps to know what you're doing before you take the class so you're confident trying what they're teaching. And watch a lot of Youtube videos - won't cost a thing and some of the best quilters (Judy Madsen and Angela Walters are two) have great videos out there. Good luck and have fun with it.