I suggest starting small and working your way up. Start off writing a simple Unit converter application with a GUI. Then maybe try something bigger like a minimal text editor (Open, edit the text, and save back out), and go from there.
Also, if you have a certain kind of application you really like, use it as an example and try to think how its developer made it. The great thing about Cocoa apps on the Mac is you can usually open up the actual interface files the application uses (right-click the Application bundle and select "Show Contents", navigate in there until you find .xib or .nib files, which usually can be opened by Interface Builder). Poke around in those to get an idea of how the apps work.
Finally, when you start building your applications (big or small) I highly suggest doing paper mockups. While using a tool on a computer is great, a blank sheet of paper has much less to get in your way. It's essentially your imagination and the paper. Start with a big rectangle (your Window) and draw in the interface. You'll get a feel of how things relate spatially. Don't focus too much on making the mockups pretty or detailed, but do focus on flow of the application and how you'd want it to be used.