I haven't done proper SFX makeup and whatnot in years, but I started off doing it for film and theatre and still know people in the industry (and yes, a lot of times SFX artists need to be makeup artist, hairstylist, carpenter, sculptor, engineer all rolled into one). My advice, just get as much practice and actual experience as possible. Also document everything you do. Seriously. Get a couple of friends together and practice various effects on them. Once you've got a decent looking sampling of skills and images, find a makeup artist near you and ask to intern/apprentice with them. This is the best way to go about it in my opinion. Some of the best tricks I learned I picked up on set from the key makeup artist.
Great resource:
http://www.monstermakers.com/