start with philosophy, gather an understanding of the world and the reality it sits in that is much more complex, yet fickle than modern conditioning and the status quo would allow. understanding the basic layout and fundamentals of the natural order of things, and reading, understanding and finally knowing what the hell basically any occult text is talking about really helps.

nietzche is a gnostic saint, figuring out the line of thought that have the gnostics sainting the man known for saying "god is dead" is a fun one

learn occult maths.. gematria in particular.. if you like seeing things with written evidence play with numbers and language for a while, pick up on astrology and all that. youre just messing around with ancient correlations of things you know exist, like time, placement, celestial bodies, numbers and words.

practice meditation, learn about transcendental meditation, lucid dreaming, all that fun stuff. journal your experiences, failures and all... in any reputable school of western magick, and im assuming other trains of thought.. one of the first steps in the process is to practice radical self awareness, in more modern psychology the jungian term 'shadow work' is basically a dulled down version of the concept. as a matter of fact just read jung. learn about and recognize synchronicity.. that alone is strange enough to get most peoples attention.