Good advice in both responses.
I'll add my 2 cents worth.
Yes, Hegner makes three sizes of blade holders, and you cannot tell them apart with the naked eye. You don't need them to start and until or unless you've decided that you are going to use the respective sizes a lot. If you decide to get the other size(s) then plan on a way to mark them, I used fingernail polish, or you'll be using feeler gauges to tell them apart.
I agree that sample packs are a good way to start. But get sample packs in a logical manner. A sample of blade types, all the same size, for example. Once you have a blade type ( Polar, scroll reverse, penguin silver, etc) then get a sample of different blade sizes of just that type. When you order blades, throw in a blade type you are unfamiliar with, give it a shot, and keep your options open.
As for practice, there are many practice patterns available. If you have the time and patience then spend some time just learning how the saw cuts and develope muscle memory. If you know you are weak in one type of cutting, then print a test pattern with your regular pattern to keep developing your skills. (If you have issues with letters then print off a couple of letters in the waste area of a pattern).
Give 'er a go and remember, it's all just one hole at a time.