I'd agree with kmaysob here - gas is sooo much better.

Da Nag - yes, you are correct, TIG is the way to go with thin wall tubing. I work for a company that does steel fabrication, and we use nearly exclusively TIG for stainless, especially tube.
As for timescale, it all depends on how good you are at soldering. It took me a good 15 hours under tutelage before I got the hang of it. Once I had it, I suddenly snapped into it and did well. The main thing is not letting the tip touch the steel - that's where I kept falling over. It's a huge waste of time when you have to remove it and re-grind it, only to go back and twenty seconds later do the same again.
I'm sure you would be able to pick it up by yourself, the only obstacle would be having to buy tungsten tips all the time. But in all honesty I'm sure you would be fine.

As for MIG - well, it's something I personally would recommend to anyone who wants to weld. It's remarkably useful and is the quickest way to learning about ductility and penetration of welds.