I've recently started dabbling in this art, and I'm lucky enough to have a friend who is not only knowledgeable in this craft, but also has a couple spinning wheels!
Not sure where you're from but there are Spinning Guilds all over the country as well as Sheep & Wool Festivals. I just went to one in NJ last weekend and plan on attending one in NY state at the end of October. Perhaps one of your local yarn shops has a spinning class? If I were in your position, I would try to find somewhere local or not too far away to check things out before making any major purchases...and these days a spinning wheel *is* a major purchase. If you can hook up with a spinning guild, you might be able to try several different wheels & try to decide if you like the experience. Some folks start by trying their hand with a drop spindle as they're relatively cheap...you could even make one yourself if you or a friend are at all handy.
The most amazing thing to me is the incredible variety of sheep there are out there and the differences in the wool they produce. Now wool isn't just wool, it's Perendale, or it's Border Leicester, or it's Romney, Merino, Jacob, etc. etc. etc.
Whatever you do, I wouldn't start with Alpaca...it's slippery & frustrating and tends to break apart; it doesn't have the little "barbs" on each individual fiber that sheeps' wool has. Those barbs help the fibers stick together in the spinning process.
Best of Luck,