Good luck! I taught myself OLAP by taking a simplified copy of an existing relational database and reformatting everything to a more dimensional model. Even with a book on OLAP and plenty of web resources, it took me more than a week just to get the data elements correctly formatted so that I could actually use them in SSAS (key structures and all that). If you use the AdventureWorks or Contoso databases though, it isn't nearly as hard since they are already set up in a clean format and the data is pretty much perfect.