There are zillions of videos on youtube on how to convert an electric kiln to gas. You may be able to pick up an old beat up electric kiln from craigslist, convert it to gas, and see if you are going to like it before investing (and we are talking $$ here) in building a kiln. As far as clays go you do need to decide what cone you plan to fire to and many clays will work for reduction or oxidation. If you are looking at gas you will be firing in reduction. Read down through the clay descriptions and find one that is for wheel work and fires to the cone you are interested. I would ask your clay supplier for a recommendation. They will know what their clients like best.
Again, you can watch videos on youtube and get lots of free instruction but remember, often free advice is worth exactly what you pay for it I too first learned to throw in high school and then took weekly private lessons from a potter whose work I admired. Her technical skills are impeccable. That may work for you if you cannot find a community college or art center to take lessons at.
You may also want to consider picking up some raku clay and do some pit firings just for the learning.
Working with clay is a real roller coaster, complete with great highs and low lows with a pretty steep learning curve. And, considering potters work with "dirt" it isn't cheap to gear up for. Enjoy the adventure.