It's a good approach, used first by Jeff Prosise in his excellent MFC book (which was itself modeled after Petzold's Win32). It will take a little longer to get to full programs but you'll understand what's going on much better and be able to do things ClassWizard doesn't support (like message range handlers) more easily.
One good AppWizard-based book is Kruglinski's. Also, kuphryn here just learned MFC and posted a bunch of questions here while he did it, so you might search on "MFC" and/or PM him and see if he is willing to answer questions.