First of all, let me congratulate you for asking this particular question. The great majority of people interested in making jewelry are NOT going to ask it: the most common route is to just find how-to video or tutorial on the web, get some tools at the nearby craft store and start making jewelry. There is nothing wrong with this approach, in fact, it shows great hands-on initiative.
However, if you dream of DESIGNING your own jewelry, then you might want to consider taking a slightly different and yet more planned out route. So I'm offering a map road for you here:
1) Decide if you want to be a jewelry designer, jewelry artist, or just hobbyist
Before deciding on any type of design or technique, think about WHAT YOU WANT TO DO with the jewelry you create. Do you want to actually make each unique piece yourself and sell your pieces (hopefully for a lot of money)? Then you might want to follow the route of a 'jewelry artist', someone who usually creates one-of-a-kind complex pieces. Or do you want to only design and farm out the construction of pieces, selling multiple designs in stores and boutiques? This is the route a jewelry designer takes, someone who has the potential of developing more ideas because they don't spend time constructing the pieces.
Both jewelry artist and jewelry designer can earn a fair amount of prestige, but they produce radically different products and cater to different audiences. A jewelry designer will typically produce more designs, sell them in mass to boutiques and therefore might produce simpler pieces, more suitable for a large audience. A jewelry artist tends to produce one of a kind pieces, or limited edition reproductions, therefore prices are higher for each piece, catering for an older audience with more discretionary money to spend. And finally, if you want to make jewelry just as a hobbyist and not for sale, then you have the choice of mass producing or creating one of a kind, depending on your whim.
2) SELECT A FEW jewelry-making techniques first
Did you notice that I highlighted the words select a few? This doesn't mean choose any old technique and jump right in. Surf the web and see find examples of jewelry pieces that you absolutely love. Once you find a few designs that speak to you, try to find out what technique the artist used to create them.
Remember that most jewelry artists and designers are familiar with wide array of techniques. For example, a One-of-a-Kind jewelry artist might work with silversmithing, beading, wire wrapping and lampworking (glass beads). A designer on the other hand, might want to be familiar with stone setting, fine jewelry silversmithing, or lost wax and mold-making, which are typical techniques used in mass production.
3) Think about what you want to design
Once you've decided if you want to be a jewelry artist, a designer or hobbyist, AND you've found out more or less what kind of techniques you need to learn, spend some time thinking about the actual designs, and sketch ideas.
If you have formal background training, that will really come in handy. The idea is to come up with some drawings of your own, that is, designs that you want to develop. Make sure to keep a steady flow of ideas in a creativity journal, so that you can exercise those design muscles, and to have a wide variety of options to choose from. If you have no artistic background or are just plain running out of ideas, then you might want to try my creativity series Think & Design Jewelry, which will for sure help you to fill up those journals with tons of ideas. Try to fill up your journals with ideas and sketches which correspond to the techniques you selected in Step 2.
4) Time to learn technique!
Now you know what you want to be, you know more or less the techniques you want to learn, and you have a few sketches of what you want to construct. Time to learn your technique! NOW you can surf the web and look for the right tutorials or live classes which will help you to reach your goals. Aside from browsing for live videos in Youtube, you might also want to check out the numerous PDF tutorials available online. JewelryLessons.com is the site I founded and includes many of my own tutorials and of over 200 talented teachers.
Did you notice one thing? That neither technique or design came first. To really be able to design your own line of jewelry, you must think of TECHNIQUE AND DESIGN TOGETHER.
If you have comments or questions about this topic, I welcome your input here! Or if you prefer to ask me questions via email, then just send me a message through Eazy Communities Helpdesk. Good luck with your career path!
Further reading: Think & Design Jewelry series by Eni Oken: a series of hands-on creativity tutorials for jewelry makers. This is about learning solid concepts about jewelry design, through fun, practical exercises.
JewelryLessons.com: an online community and marketplace of online tutorials distributed in PDF ebook format.