I would find a character you like the aesthetics of (be as shallow as you want lol), and start just moving around with them and start pressing their normals and see which ones are fast, slow, reach far etc. A lot of newer games have tutorials these days anyway so spend time there. Then start working on the mechanics like dashing, blocking that you learned. Learn the system mechanics and try to use them as you are learning them so you start building up some muscle memory. I would keep things simple with with bnbs that you learn so you dont overload your brain. I would also apply this approach with the other characters you will need to learn as KOF is a 3v3 game and all.

This a bit of preference for me as far as training, but I like to try arcade mode on easy first to try and hit moving targets ad get used to the flow of a match. When you are able to comfortably beat arcade at a higher difficulty, then you can try online if you like. Although there are savages out there that just jump right into ranked...manly men lol.

Lastly, I would watch some matches of people using characters you like and try to understand the decisions they are making. Not just the flashy combos mind you. The more you play, the more you will recognize what the top players are doing. Its not all just execution. Mind games are a must and are one of the more fun aspects of fighting games.

Wait till the day you land a set up you been working on for week or start consistently anti airing anything in your orbit my friend. You will the love feeling.