A stone is the hardest way to sharpen a knife. If you don't get the angle exactly right, you'll just be messing up your knife, not sharpening it. If you do want to go that way, yes, you'd definitely want to practice on something cheaper, because it's likely you will mess it up. This is why a lot of people just take their expensive knives to a professional to get sharpened. I've seen good knives sharpened into oblivion before - totally reshaped blades, and still not even really sharp.
Most electric sharpeners are designed to avoid all this - the good ones have a fixed angle sharpening surface, and something to hold the knife in the right orientation, so you can't mess it up. The one caveat is that Western style knives have 20° edges, while Japanese style ones have 15° edges, so for example in the US, the sharpeners you buy won't be good for Japanese style knives.
Additionally, you don't actually need to sharpen them very often at all. Periodically honing your knife will keep it pretty darn sharp, especially if it's a decent knife and you take good care of it otherwise. Give that a try, and you may not feel you need to sharpen it for a long while. At that point, since you won't be sharpening it all that many times in your life, it may not be worth learning to sharpen the hard way - a professional or an electric sharpener will be a lot easier.
But if you do want to get a stone and teach yourself, the thing to do is probably to start with a finer-grained one, so you can't destroy the knife as easily. You can practice getting the angle exactly right, doing finer sharpening. Hopefully that's all you'll need, but if you ever need to do more, once you've got some practice, you can move on to a coarser stone for really reshaping the blade. (Or... you can apparently save money and use sandpaper.)
Best Answer
What stones you get depend on the current condition of the knife and how regularly you plan on sharpening it. If you are bringing the edge back on a dull knife, you will need to start with a relatively coarse stone (say, 240 - 600) to start the edge off. If the knife is still in pretty good condition, you can use something like a 1200 once a week to maintain the edge. You can also look at a very fine stone for polishing, like a 3000-5000. You can then use a standard issue leather belt for stropping/honing.
I would recommend you practice on cheaper knives first (and I mean a considerable amount), because improper sharpening can ruin a knife in short order. If you curl the edge there is little that can be done to fix it short of grinding off a lot of steel.