I have the same thought.
Look around the internet. There are many great videos/tutorials out there for painting. You will also see what kind of supplies are used/what you will need.
While you might want to start with a new, more expensive kit you love to paint, start with a less expensive kit. Your first doll is truly just an experiment of how to do everything.
Air dry paints seem to be gaining popularity, check into these, too.
Good luck. Once you dive into this art, you will be addicted.