We started by moving to a new (well, new to us) house and renting out our primary residence. In that case we had lived in the nighborhood for 4 years, knew the property condition inside and out and knew the rental market. We sold after a couple years to retain the tax-free capital gains (at that time it was not pro-rated as it is now) and invested the proceeds in another rental property.
By the time we pruchased the second rental property we were familiar with the tax consequenses and other factors in dealing with rental property. This takes some time to implement, but I think it is the best way to start out.
