Do you want to actually learn how and why they work, or just paint by numbers. There are plenty of kits out there that you just put the parts where the thing tells you and solder them in. Pretty easy, once you get the soldering skills down. Actually learning the theory behind it is a different step altogether.
Either way, really, if you're really new (like not sure which end of the soldering iron is hot), I'd strongly suggest you start out building some cables. Buy the connectors and bulk cable to replace everything in your
studio plus some extras and get to it. You'll start to figure that part out pretty quick.
Then I'd say go over by the
DIYStompboxes forum and build their
Beginner's Project (you don't have to buy the parts from the forum store, though it might be convenient) and maybe a couple of other simple things. These projects are a bit more forgiving with cheaper and more readily available parts but they're quite useful, and all of the principals are essentially the same to what you'd be doing making "
studio effects". Plus, the folks on that forum are great, knowledgeable, and happy to help anyone with a willingness to learn.