Guitar effects are based from circuits of some kind. It's a good idea to start by cloning effects when starting down the road of homebrewing your own pedals... that way you have an idea what you want, and you know more or less what you want to achieve, and how to get there.
Distortion pedals specifically are a great place to start - the Tubescreamer, for instance, is only about a dozen components, not counting the power supply, enclosure, jacks, switches, knobs, etc of course. Many of the most popular distortion pedals are relatively simple circuits with relatively low component counts, ie, Big Muff, Fuzz Face, etc.
You can take a course in circuits, certainly, but I should warn you that the knowledge won't be 100% applicable. Audio electronics seems to be something of a subdiscipline in its own right, and once you're talking about effects you end up in situations where you might intentionally want to break the rules... for instance, good engineering practice might suggest one value of bypass capacitor (see first link), but that doesn't take into account the function that capacitors play in terms of filtering your signal... there are times that you want a smaller cap than may be normally considered, and there are times where a larger cap may be warranted.
Also, some engineering practices may run contrary to the point of a circuit's intent... for instance, I found a document describing how to design a JFET preamp for a radio circuit. While it showed both a design with the source resistor both bypassed and non-bypassed by a cap, it mentioned that even though you lose some gain, it may be best to *not* bypass the resistor (ie leave the cap out), since it can introduce noise or hiss into the circuit. In practice, this isn't an issue with guitar pedals (at least not in the same way), especially distortion pedals where in general you're going to *want* more gain.
(sorry, hope that wasn't too technical)
I strongly urge you to hit up the DIY sites and forums, and spend a lot of time reading and asking questions. Many DIY sites have build reports, scanned PCB's, schematics, vero stripboard layouts, and some even offer components and full kits for sale.
It is possible to put some effects directly into your guitar, yes, but because there isn't a lot of space in the guitar's cavity, it isn't commonly done except with preamp and/or EQ circuits. Remember, you've got to fit a battery in there too...
Speaking of which, a preamp is a great first project to get started on. I would suggest a buffer... it's simple, very few parts, and gets you used to the whole idea. It's kind've a subtle effect, but when you put one onboard it can make a very big difference in your tone. Um, third and fourth links down talk about buffers.
The idea there is that guitar pickups have a high output impedance. This isn't good - high impedances are more likely to suffer from tone loss (loss of treble especially) and noise. A buffer converts that high impedance to low output impedance... which means that your cables and certain pedals will no longer suck your tone! A great mod, especially if you don't like to spend tons of money on expensive cables and/or have long cable runs.
I've included a number of links, the last few are some great sites, some with stores attached where you can order kits or parts pretty easily. Most also have forums attached as well, places where you can learn a ton!
I would suggest starting with JFET-based circuits... they're simple, cheap, pretty standard, and can sound very good. Runoffgroove has a number of *very* cool projects that use this component, the fetzer valve link below has a lot of good design information, for instance.
Google "dr boogey" for a great mesa boogie "recto" clone pedal, or any of the variations of the Shaka pedal for MOSFET based circuits.
Creating delay, modulation, etc type pedals ain't easy... work up to those.
If you want to go that direction, consider the Epiphone Valve Jr. It's a cheap tube amp (available as a head or combo) that is a great platform for modification and tweaking... a good start to getting familiar with building your own amps.
Alternatively, google "Matsumins valve caster" and see if you can find the 63 page (!!!) topic on diystompboxes.com. It's all about using tubes run at low voltages for overdrive/distortion pedals. Really cool stuff, that's where I'm heading towards now...
Good luck!
Saul