Edinburgh Bicycle Co-op runs one day wheelbuilding courses at its shop in Bruntsfield. Apparently it's the only such course in the country (unless someone knows otherwise?); folk had travelled from as far as Inverness and Preston for that reason.
Gave a pretty good intro to wheelbuilding and some neat practical tips, although I didn't learn any theoretical info that I hadn't already got from Sheldon Brown. The most valuable part was being able to experiment on someone else's parts then walk away at the end of it.
I feel pretty confident I could build a sound pair of wheels (just waiting for the right project), but if it all went wrong the LBS would true them for a few quid anyway.