Well the main way you learn how to make your own recipes is by picking ingredients out kind of at random at first, kind of like a kid in a kitchen. The problem with this is that your first couple of custom recipes are unlikely to be very good. Here's my advice....
Start off with proven recipes. This means stuff out of 'Brewing Classic Styles' or recipes from beers that you have personally tasted and enjoy. Don't trust every random recipe you find online. That one guy online swearing that 3lbs of Black Patent makes his stout delicious is probably full of crap, or a chain-smoker who can't taste anything anyway.
Take the recipe and modify one ingredient. Just one. Seriously. Put down the Northern Brewer catalog! The only way you will figure out what flavors an ingredient is imparting is to account for them one-by-one. This takes a lot of time when you are starting out but its worth it. Some of my earliest batches were crappy because I thought I knew how to make a recipe, and it was pretty discouraging.
If you like plain ales (Golden Ales, Blondes, etc) one of the best things you can do is to make a series of SMASH (Single malt, single hop) beers. This makes it MUUUCH easier to figure out what the "bready" qualities of a malt like Munich actually taste like in a beer.
(Side rant: I find that ingredient flavor descriptions RARELY match what they supposedly taste like. Meaning, I know what Munich tastes like, and that its described as "bready", but it doesn't taste like actual bread to me at all. Same with "earthy" Fuggles and "chocolate" malt. Don't get too hung up on these descriptions, and don't think that just because you like the taste of cloves that you instantly love a beer with a "clove" description on the yeast. Its just not the same, and we're just using that word because its the closest we can get to describing the flavor in the beer. Furthermore, if you think a beer is supposed to be a certain flavor because of an ingredient, you will trick yourself into tasting it.)
Even if you start off with a complex recipe (again, given to you by a trusted source), you can still swap out ingredients one by one. It will just be a little harder to pick them out the more complex the overall recipe is. And some big-flavor beers (Stouts, Belgians) are bad ones to experiment with because the flavor of whatever minor ingredient you are using might just get completely hidden by the strong flavors from the rest of the recipe.
Finally though, don't be discouraged! Experiment away! Just do it in a smart manner (adjust for one ingredient at a time). Or, throw in 5 new ingredients, but don't expect to be able to truly figure out what each one is doing right away. Its all up to your personal style. One of my favorite beers to make and drink is a custom recipe that I created that doesn't have a direct commercial or stylistic equivalent. Its a Vienna-based lager with about 20% Munich, along with some dark crystal and some Carafa. Makes kind of a "Vienna Schwarzbier Bock" hybrid. I found it by taking an existing recipe (for a Negra Modelo clone) and adjusting the ingredients one by one.