REI is probably your best bet for anchor building. Climbing gyms are usually top-rope or pre-placed protection for leading. Not much help there in actually setting anchors up.
If your local community college has an outdoors program, email one of the instructors and ask if they know.
If you can dig up some local climbing/bouldering spots, and I'm sure there are quite a few around you ... swing by and ask the climbers there. They may be able to point you in the right direction.
You can learn a lot as well, depending on what kinds of anchors you want to build, by looking up SAR anchors online. Books, such as Freedom of the Hills as well done and will give you a huge set of reference material.
But, really, you don't want to screw up ... it's your life on those anchors. So just be safe, go slow and make sure you get your anchors perfect and don't just settle ... take extra minute or 5 or 10 to make sure it's as perfect as you can get. It's far from rocket science ... heck, they teach it at REI ... but you do need to understand the gear and basic placement.
And don't buy a sport-climbing harness. Get a BD Alpine Bod. Much (MUCH) nicer and easier to get on and off. :P Or just get some 1" tubular webbing (REI or online) and learn to tie your own ... but that can be a tad uncomfortable if you're actually hanging on it much. Cheaper, lighter and smaller than a harness though.