Step 1: Forge
With a gas forge it's a lot cleaner and easier to use. They are also more portable. But they have less control over temperature and can get very pricey for gas and the initial cost of the forge.
With a coal forge it's a lot cheaper (next to nothing) to buy/make and you can control the temperature better. But coal is also very messy and depending on where you live you might not have a source of coal nearby.
The choice is up to you. I went with a gas forge because it fit my needs better, but do some research to see which one is best for you.