Here is my advice.
Do not worry about getting any major coin sets until you start performing some serious coin magic. Any normal post 64 fifty cent pieces will do.
First, I would suggest both books and DVDs. However, I suggest reading first. The reason for this is that it will challenge your interpretation skills and make you focus heavily on worded detail. When you try to learn coin magic from a book, when it says that you put the card in the first, not the second, join of your left hand's second finger, you really have to put it in your first joint. From a DVD, it might not be as clear.
After getting the fundamentals down of the various palms, false transfers, vanishes, multiple coin handling, then going on to DVDs to compare your fluidity and hand movement would be best.
Some other things to think about:
You can walk around all day with coins palmed. You can type on the computer, hold a pencil, and drive a car (maybe after you are really proficient, since safety always comes first).
You can practice shuttle passes while watching TV.
Pretty much almost everything you do each day can be done with a coin in some kind of palm. Do this for a few months and your hand will just naturally start working with coins more proficiently.