You can learn the basics by building a kit, buying a pattern or reading the Foam Book but there's no clear cut answers on how-to build or what to use. (There's plenty of suggestions and information on these boards regarding what the ultra-cool kids are making, good stuff) That's the beauty of this art form. I just read an old, old book on making marionettes out of bleach bottles and junk. (I got some neat ideas from that.)
(I usually get shouted down pretty quickly, but...) The point is, look around, study what others are doing but don't get too bogged down doing that because it will stifle your original thinking. (speaking strictly from experience)
Don't get discouraged by nay sayers either. (again...experience) People have to learn by degrees. If you've never ice skated before, don't expect to be an olympian your first time.
Try
http://www.projectpuppet.com. He has really cool patterns.