Is it the "old" DTS or the new SSIS? Frankly, there are no good books with lots of step-by-step examples for SSIS yet. I also attended the first worldwide delivery of MS training modules for SSIS late last year... the feedback was mixed, and so MS has those classes on hold for some time I believe.
But then, I read almost all the books on SSIS available out there, and kept practicing in Visual Studio. End result was a huge success for a couple of our customers. The best book amongst the ones I read was Sams Microsoft SQL Server 2005 Integration Services. I find Jamie Thomson's Conchango blog a great SSIS resource. With that being said, there are soooooo many caveats in SSIS that haven't been documented properly, and the best way to learn them is by banging your head against the table for days
By the way, if you were looking for resources for the "old" DTS, then that pretty much renders my post useless!