I learned by playing many many games on a small map vs. 4 opponents with default settings. I used a custom race.
My first game I started on Cake-walk. Then I played many games on normal. When it looked like I wasn't going to win, or I realized a made a huge mistake, I reloaded my game to week 1 and tried again (although I didn't metagame -- meaning, I didn't use knowledge that I could only have aquired by seeing more of the map). I kept doing that until I learned what strategies work, and which ones don't.
Then I went to Tough, and did the same.
Now I'm on Suicidal, and I no longer need to reload my games back to week 1