Take some ASA courses to get a feel for the 'rules' of sailing. Then join a sailing club and experience as many different boats as possible by crewing for others; this will have the added benefit of learning the tricks from numerous sailors. Make sure you do some offshore time to make sure you're up to it (some folks just can't get out of the bay without getting sick). Once done, charter a boat or two to get a feel for what you like/don't like. Then go shopping for a boat. Smaller boats will teach you a bit quicker than larger boats, but the same principles apply. If you're going to sail the Keys to the Bahamas, be aware of the draft of the boat you choose and leverage the experience of folks who live in that area.
As a counterpoint, some say to just buy a small boat and get out there today. That is what I did after taking the ASA 101.
*I am a lake sailor (past) not an offshore/ocean guy, so much of this advice is what I've seen offered to others in your shoes over the years. I'm far from an expert, but have owned from 12' to 26' sailboats*
