The best thing I did was do a little bit of research and then jump in with both feet. Personally, I went for high-end stuff: DMT duosharp stones, Spyderco large ceramic stones, etc. But whether you've got a $200 DMT diamond stone or a $5 Arkansas stone, the next step is the hardest and most exciting: just start doing it!
I agree with maximus: for your first real sharpening, do not use your Sebenza! A) because it's valuable, and B) because those are tricky to sharpen anyway with their convexed edges. I suggest sharpening someone else's cheap kitchen knife. A) if you screw up, it's not your knife and not an expensive knife anyway, and B) if you don't ruin the knife and can put a halfway-decent edge on it, your friend will be thrilled!
I watched a lot of videos and read a lot before I started sharpening; there's definitely a lot of information that can help you understand before you start, like for example, the way a burr forms and gets removed. It's nice to see those electron scanning microscope pictures of edges before and after sharpening to see what is actually happening to the edge. A 15X loupe is a good idea, too, as it lets you see for yourself what is happening with your edge and whether you are really ready to move on to the next stone.
Some other advice: perfect getting the right angle and *maintaining* that angle during the full sharpening stroke. An easy way is to hold the knife perpendicular to the stone (that's 90), then half of that (45), then half of that (22.5), then ease down to whatever you need (15 or whatever). And make sure to compensate for the curvature of the blade by lifting the handle angle when you approach the tip. Also, do not sweep the tip off the stone, keep it on the stone and stop on the stone. this prevents rounding the tip. Also, for "hair popping" sharpness, as you mentioned, you need to spend the appropriate time and patience on the edge "refinement" with the fine stones and the strop, using a nice light touch.
