As simon pointed out. The most important part in mastering Regex is when NOT to use regex but that skill will come eventually. Till then use regex when you're doing Word finds or in your fave texteditor or in Excel. Anywhere that gives you that option, take it till you get a good handle on it.
Also, learn about these concepts fairly early on.
- greedy
- lazy
- what the difference between "." and "\w"
- "\b"
- the short-hand character classes ("\s", "\d", etc)