I would say start with craft foam. Craft foam and wonderflex are pretty similar in that they are materials you heat and then they become flexible, and they hold their shape when they cool. Wonderflex is stronger, can give you more detailed shapes, and is more expensive. Craft foam is incredibly cheap.
Of course the first step is mental preparation.
Figure out how you want to divide the armor up for construction (gloves, chest piece, shoulders, boots, additional arm and leg armor, etc). It will help to use a model viewer to look at each piece individually instead of all together. Then figure out where you want to start on the construction, if it were me I would pick the most vital pieces first (so shoulders or chest, but that's just my preference).
To start, I would say pattern it out piece by piece (figure out what 2D shapes you will need to cut out of the foam or wonderflex before heating and shaping it in to 3D). You can do this by holding up sheets of paper or foam to your body and drawing the shapes on that.
I wish I could give you more help about how to attach the armor but I've never made full body armor before
Kamui is AMAZING <3 I got to meet her briefly at Blizzcon last year, she does amazing work. I really like her idea of making a wearable velcro gauntlet to attach her actual armor to.
This guy is pretty awesome too http://www.cosplay.com/member/183343
he has helped me out a lot with some basic armor questions.
I just found out today that I might be getting my Cataclysm from Walmart since our local game stores don't have collector's editions
I was super excited to wear my new Val'kyr costume to the midnight release, but Walmart doesn't have that.