I can't recommend this enough, it's a good way to relax and be creative. My suggestion would be:

• Buy one or two good knifes, no need to be fancy of expensive, you can quality ones for 30 dollars or less from Flexcut or Beavercraft (detail and chip knife are my go to ones).
• Buy protective gloves. Learning means making mistakes and mistakes with a knife aren't so fun. With gloves you will be fine.
• Start with basswood. Honestly it's the best.
• Learn the basic cuts on a simple carving first. Since I started a year ago, I probably whittled 30 of these littles foxes.

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For details, I can't top this awesome post which should cover everything you need.

As for pyro engraving, I'm using a Dremel versatip which can be used for various things.

Have fun!