I would suggest that you read the "written word" section on Dennis Diekmans website, I think the web site is cuemaker.com. It is a long read to get through all of it, but it's full of good information. There is also a small amount of very basic info on cuecomponents.com. Cue components also sells a cuemaking video, but I have heard that it isn't very informative.
"The Cue Building Book" by Chris Hightower is also a good start for learning, and I think it runs about $70 these days. I think he has also recently released a video series, which is highly regarded.
When it comes to cues, a backround in machining is much more useful than woodworking experience. Many people are surprised to learn that very few woodworking tools are used for cuemaking, even though cues are made almost entirely of wood. Making a cue on a wood lathe is not practical, and will not yeild a very good product.
While there are small lathes made specifically for cuemaking, most serious cue-builders use large metal lathes (typically 12x40 or larger), and then spend a small fortune in tooling for them. Notice that the word lathes was plural. While a quality cue can be made on a single lathe, changing the tooling for each step of the process is not practical, and most cuemakers have several lathes. A vertical mill is also very usefull for all sorts of cue-building applications. It is a serious investment in equipment, tooling, and the time to learn how to use all of it.
If you are lucky, there may be a cuemaker in your area that would let you see his shop, and explain some of the processes and techniques. Many cuemakers are pretty protective of their methods though, and may not be very open to showing you anything.
If you have any more specific questions, I'd be happy to talk to you via e-mail, phone, or on here.
Edited to add links-
http://www.cuecomponents.com/cuebuon.html
http://cuemaker.com/dieckmanwrittenword.htm
