Make sure you have everything you need. Then decide how precise you want to be about building your wheel. It is good to practice on cheap wheel or lightly damaged wheel. A wheel that you can disassemble and rebuild, several times if necessary, for practice. It is good to focus on the mechanics of building a wheel more than the theory building a wheel. If you are comfortable with that, then move on to building your own wheels for riding. It's easier to learn with a regular wheel (32 spokes, heavy gauge, double butted spokes, and brass nipples). Don't try to be a hero on the first wheel.
If you want to be super precise and you want to build a good wheel, you should have a decent truing stand, which doesn't have to be super expensive but it should be stiff, as a stiff stand will make truing easier. You also will want a tensionometer. A nipple driver works and is handy, but for new guys, I don't recommend a fixed dimension one like the Sapim. The reason for this is that not all spokes have their threads cut/rolled the same, particularly in a rear wheel when you are dealing with two different length spokes which come from different production batches.
You could build you own wheel building jig by using an old pair of forks, which can be Carbon, Steel, Ti, or Alloy. If they have snapped, in a crash, etc, you can join each fork leg together by epoxying them into a block of wood with the dropout facing upwards, otherwise they can be fixed into a block of wood via the fork steerer. Then attach two zip ties to act as roundness and truing gauges. You can slide the zip ties up and down or they can be twisted to adjust to rim size. Also beneficial is to place a sheet of white paper (A4) under the jig for some contrast. You can fix the wheel to the jig/forks via a QR skewer.
Some good useful tools are Phil Wood spoke cutting machine, TS-3 stand with dial gauges that have rollers for tips (very smooth, even readings), anti-seize compound for threads (regular automotive stuff), Kendall Super Blu for nipple/rim interface, DT spoke wrench, FSA tensiometer, Park WAG-4 dish tool, long nipple driver, and a few different tools to put the nipples in place in the rim.
You should check the ERD, even if you think you know the ERD by measuring it yourself. Sometimes the ERD provided for your guild is wrong. Using spoke rods from Wheelsmith 310mm blanks, etc, cut the elbows off, then thread the other end and screw on a nipple and thread lock with red Locktite. Measure the overlap and subtract that from a constant. Measure the rim in 4 places. This is more important with alloy rims and it will give you an idea of how round the rim is before you start.
To determine the required spoke length you can use spocalc.exe, which is a great spoke calculator (simply Google it). Once everything is measured, put the numbers into spocalc, but here the important part. For light gauge spokes (1.5 butted, CX-Rays or Aerolites), subtract 1mm from the calc for the front and DS (Drive Side) spokes. Subtract 0.5mm from the NDS (Non Drive Side) spokes. This gets the spoke flush to the top of the nipple. For heaver spokes like 1.8mm or 2.0mm only subtract 0.5mm from the front and DS spokes and 0 from the NDS spokes.
Take a look at some spokes at random an you will notice that some have 9mm of thread, some 10mm, some 10.45mm and others 10.2mm. The point is that the thread lengths tend not to be equal, however spokes length tend to be more consistently equal. For an experienced wheel builder this isn't a very big deal, it simply takes a couple minutes longer when tensioning a wheel. So if you start with a nipple driver that has an adjustable depth pin you take out the initial uneven tightening you get by using the last thread as a stopping point. There are several out there, the one that comes to mind first is the problem solvers holy driver. You set the tip depth to whatever you want (something close to the first thread on the first spoke you do) and then as you tighten each spoke, the tip will hit the spoke as it comes into the nipple and actually push the nipple driver off of the nipple. This ensures that each spoke/nipple is started and equal distance from the end of the spoke, which produces a more consistent starting point and makes for a wheel which requires less attention to rounding.
The FSA tensiometer is very good, although a little more expensive, but it's great if you plan on doing many wheels, otherwise, the Park tension meter is fine.
It is difficult to achieve perfect roundness. If the rim is not perfectly round and you achieve a perfectly round build, then spoke tensions will not be perfectly even, and visa-versa, if the spoke tensions are perfectly even then the build will not be perfectly round. That's due to the fact that tolerances in rim manufacturing are not perfect. Some wheels are definitely going to be more perfectly round than others. A good example is that a carbon rim will almost never be as true as an alloy rim. This is because alloy rims are extruded and carbon rims are formed. Rims can also vary in width which can affect your truing. Rims can also be less round or vary in width at the seam.
Lubrication of the threads of the spoke is important. I personally don't like thread lock to start a wheel with (I use spoke freeze at the end) but to each their own. I like spoke prep or linseed oil on the threads of the spoke. Another often overlooked lube point is the eyelet of the rim. A drop of grease on there reduces friction from the nipple/rim interface. Linseed Oil can be used as a thread lock and it works well. Just dip the thread of the spoke in linseed oil before lacing and remove excess by touching the thread to a bit of newspaper. The Linseed Oil lubricates the nipple while you are building the wheel and helps to reduce spoke windup. Once the wheel has been left untouched for a couple of days the linseed oil has solidified and acts as a very mild thread lock. If you do adjust the wheel at a later date the linseed oil tends to crack and falls away from the nipple/thread. The Linseed Oil also seems to be sufficient to prevent the nipples seizing to the the Spoke thread. You would not want to use Linseed Oil on internal Nipples with carbon rims, if Linseed Oil is not compatible with the carbon resins in the rim. If you use linseed oil do not to leave rags that have become soaked in linseed oil lying around because they can spontaneously combust under certain conditions.
Some have used Purple Extreme lube for threads and nips on alloy rims. A few mm's in the bottom of a jam jar, dip the threaded ends in then rattle the excess off the inside of the jar. Then, when the wheel is built loosely, drip one drop into each eyelet. If high tension is required then they have used grease. They have also used a tiny amount of Coppaslip on carbon rims with external nips just at the interface. Purple Extreme evaporates over time and just leaves a nice amount of lube to enable smooth movement in the future. It was developed for ocean wet lubing so it is good enough to last the winter on a bike wheel. Nothing else seems to last as long.
For locking threads, I'll use ABS nylock nips on the non-drive side or the whole wheel if its called for. These don't move even in a hard landing or nasty pothole so are great for CX wheels, MTB and BMX use. For alloy nips, I crimp Sapim 14mm alloy just a tiny amount at the top of the threads or use Loctite 280 after the wheel is finished. It creeps down the thread with capillary action so works really easily.
For holding the nipple in place you can use a metal punch. It should hold the nipple in place just enough to let you use a driver to thread the spoke. This will vary depeding on the rim, ie high profile rims. For high profile rims you can use another spoke that you thread one nipple on as far as you can so there are a few mm of threads sticking out the other end. Then use that thread and screw the new nipple on backwards, then insert this down into the rim and screw the new nipple onto the spoke.
Some suggest you true and round the rear wheel using only the drive side (DS) spokes, but not at full tension. Even tension is the most important factor for wheel strength and any deviations to this should be to make the wheel acceptably round. Radially stiff rims that aren't round to start with need a lot of tension variation to make them perfectly round. I've settled on a variation of up to .015" with minimal tension variation (+-5kg or so) before I'll say the rim is no good. Although the variation could possibly be higher before you would feel it. A good way to achieve both of these goals is to start with a round wheel with very light tension, and keep it as round as possible throughout the building process. So keeping that in mind once that's done you add the non drive side (NDS) spokes and use those to dish the rim (ie. centring the rim to the axle). As you dish the rim you will bring the DS spokes up to tension. Some people like this method, others don't. Another trick for bringing tension up without taking a rim out of round is to tighten only every third spoke rather than each one in order. By doing this you tension only one of each spoke of each set and in order. Also use small turns when bringing tension up.
When tensioning a centred rear wheel you need to take into account the different angle of the NDS and DS spokes. The NDS spokes will pull the rim more to the side than the NDS spokes with the same amount of turn on a nipple. So if you tension all the spokes by 1 turn, the rim will not be true and centred towards the NDS. It would appear that the ratio for keeping the rim true/centred is 1 NDS turn to 2 DS turns, but this will depend on the spoke pattern that you have decided to use.
Don't sacrifice even tension for that last bit of truing. Some rims are just not perfect and it's better to have more even tension. It will take many wheels to judge where this compromise is. In general, rims like Reynolds and Edge Composites get true and still have very even tension. The same cannot be said for many alloy rims.
The term Dish is simply saying that when a rim is centered between the axle ends or the points at which the stay dropouts sit on the axle, the rim does not look centred between the hub flanges. This is because you have a cassette on DS of the hub and as such the two flanges, that hold the spokes, are unevenly spaced between the axle ends (ie. where from the stay dropouts sit on the axle). So when the rim is centred on the hub/freehub/axle, the rim looks like it is dished to the DS hub flange, and not appear centred between the hub flanges. Note that this is not an issue with a front wheel build.
Hub Graphics (this is not important but a nice touch)
If you are lacing a hub with the common method of DS trailing, spoke ahead of valve hole first, then to get the graphics on the hub to fall perfectly in line with the valve hole ...
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Count the number of 'crosses' you intend to make, for example 3x.
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Look for the first hole forward of the writing on the drive side, then start with the next hole forward, counting 1,2,3 away from you.
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If you insert your first spoke in the 3rd hole, the writing on the hub will always be seen through the valve hole.
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Works for all lacing patterns. 1x, 2x, 3x or 4x, simply put the 1st spoke into the corresponding hole - hole 1 for 1x, hole 2 for 2x etc.
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Radial is easier obviously.
With this information you will be able to repair your wheels and perhaps even perform a build, although information about radial/1cross/2cross/3cross/4cross patterns is required, but there is more to come :-)