I started with 'The Game' from Neil Strauss, that gave me the idea. From then it was all downhill, you just have to go out and try. I never used canned openings and that kind of stuff, i also never read any kind of specific 'technical' material like the Mystery method.
I think that the really important things are to grasp the concept, learn to use the feedback that you receive from them effectively and (most importantly) get over the fear of rejection that goes with the approach. Once you lose the fear everything becomes easy.
Don't bother with The Game if you want to learn about the techniques in a practical way, though it's fascinating reading and well worth reading for the story (it's more of a "history of game").
Especially don't take The Game as a manual. Much of what it describes is perhaps the worst aspects of "old style" game, full of manipulation and scripted material. A lot of newer stuff is far more palatable for most people, and much more "human".
Check out fastseduction.com or rsdnation.com - both are huge free resources.
fastseduction.com has archives of most of the posts referenced in The Game, as well as assorted guides and a step by step guide with references to reading material etc. for people who are new.
I think that the really important things are to grasp the concept, learn to use the feedback that you receive from them effectively and (most importantly) get over the fear of rejection that goes with the approach. Once you lose the fear everything becomes easy.