How can I start at BJD making?

Look up "Yoshida style ball jointed doll making guide" - it's a book with very thorough instructions with pictures.

 

Also, I would try to study as many smaller bjd artist Instagram accounts, Flickr accounts, etc. as you can! I've learned a lot by watching other people construct their own dolls. You don't see the work in progress as much with the larger companies (Fairyland, etc.)

I would suggest: Merrydollround, Harucasting (he makes his own sculpts but also casts many sculpts), Maskcatdoll, bonelace, tonocha331, etc. Try looking up "bjdsculptor" and similar terms.

 

I would first start with handling a BJD to see its function and structure, if you haven't already. I would then start studying anatomy intensely. Some sculptors just start out with heads, but you'll need to have a grasp on anatomy for that as well. I would stay away from air dry clay because it's not hard enough to be strung with elastic as a BJD is.

 

Seconding the idea that you should handle a bjd to learn about the joints—handle as many BJDs as you can, in fact! See what you like about one style of joints versus another. Fairyland does an extra little piece of resin in the knee, for smoother posing. How do you like that compared to a peanut style knee, and a cut out knee. Compare single jointed and double jointed dolls—what’s different in how the joints are made? Single joints are easier to sculpt, but does the range of motion satisfy you. Find out where you like your torso joints—a solid torso is the easiest to sculpt, but limits posing. If it has one joint, are you putting it under the chest, at the rib cage, at the waist. Are you doing multiple torso joints in different spots? It gets easier to know what you like when you’ve played with dolls that have different joints and different sorts of articulation.

 

I addition to the advice already given:

You are asking what I like to call "A very big question in very few words."
It's too vague and too broad to give a similarly short reply. You won't find many tutorials for the entire process, because there are just too many variables. But you can probably find decent tutorials online for isolated parts of the project.

My best advice is to start by splitting it up a bit. Something like: Planning, sculpting, finishing, mold making, casting, post cast finishing, marketing (can't be discussed here on DoA, but it is an important part of every project), packaging and documentation. Most of these can be split up further, but you get the idea.

If you are interested in the whole production process, make sure the project is small and simple as to not get overwhelmed with all the steps and considerations that you have to take. Remember that every single extra part adds complexity and extends the working hours you need to spend.
If you never sculpted anything, perhaps a one off art doll is a better idea. That way you can focus on aesthetics and engineering and forget about most material testes and casting equipment and all those less glamorous parts for now.

Handling existing dolls is good advice. Also read through the project journals here, as many as you can. There you can see what works for people, what they tend to get stuck on and at what workarounds people use when working under less than ideal conditions (as I think most of us do when we start out). Especially pay attention to at what stages projects tend to stall. This is valuable information for both planning an expectation management. Compare the difference between projects that have been abandoned and projects that were eventually finished, but had long periods of silence.
Note types of makers. Some will come in strong, start a project with pretty sketches and a solid plan, only to stop working on it after a few weeks and start another project. And another. And another.
Some will spend years on a project, take long breaks, but eventually finish.
Some are stuck in eternal loops of changing and upgrading their projects, but never actually finish.
Some have enough experience to sail through a project with relative ease. When someone makes it look easy, check what projects they made before, it's probably not their first.

All this can help you build up a picture of that to realistically expect from a first project and build up an idea of what different materials and techniques may be right for your project.
Once you are ready to start, make your own project journal and don't be scared to ask for advice whenever you get stuck on something. People here are usually very happy to help when they can. Just make sure to include enough information to make it possible to give useful advice, and do verify before testing.

Best of luck to you!