I grind my own wheat. It works just the same as baking bread with flour from the store except that it rises better because the flour is already warm.
The bread is much more nutrious since the wheat hasn't lost any between grinding and using.
I use a grain called prairie gold wheat, but any hard winter wheat red or white will work. Also Spelt and Kamut can be used although I have never tried as they are expensive. The higher the gluten content the better the loaf. I buy my wheat through a co-op in 50# bags. Any health food store should sell it in their bulk section, I would start with 5 pounds.
Other grains can be used in addition to the wheat but you need to make adjustments for the differnt types.
The first bread baking book I bought was Sue Gregg's Yeast Breads, which has alot of the questions answered it was written so that children can learn to cook.