I agree with Kurt - if you can jump in and buy the equipment, then do it and you can learn on your own. On the other hand, if you have no experience, you're going to be wondering what the different kinds of welding are good for. That's what's good about taking a course - you can play with gas, stick, MIG and TIG welding, and do some plasma cutting and torch burning (gas cutting).
What do you want to weld? Maybe that's a better question.
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