I just jumped in myself. Built a cooler MLT after watching some videos on YouTube and got after it. It's no more difficult than extract brewing, but might take you a few times to really figure out your system. My big thing was dialing in my dead space. I did dry tests and found it left a little less than 2 quarts. But still didn't figure out the real number, just under a quart until I used the system a couple of times.
Also, if you will have the grass pre-crushed or crush them on a store's mill, up the grain bill a little bit. I never got great efficiency until I bought my own mill and set the gap how I wanted.
No better way to learn your system though than brewing. That learning curve will always be there, so no time like the present to start.
Also on your first day I highly suggest measuring everything out before hand and have everything ready to go before you start. Easier to adapt to the unexpected if you have what you know you need already laid out and ready to go.
I find the process a lot more rewarding. Not that an extract batch doesn't feel like my beer. But something about the all grain makes it feel more hand made to me. Kind of like the difference of baking a cake mix as opposed to starting with flour, eggs, coco, etc. both can produce good cake, but the one has a little bit more of yourself in it.
Sent from my iPhone using Home Brew