First, ignore the advice of those who say to stockpile every available kind of wheat flour substitute. This will only confuse matters.
Plus, many alternative flours have short shelf lives and will expire before you even get a chance to use them. Cooking with rancid flour will not make for yummy treats. What I recommend you do is buy a few wheat free baking mixes and see what you like best.
There are many different brands out there you could try: Arrowhead Mills, Pamela's, Authentic Foods, Namaste, Bob's Red Mill, and many more. Most of them have recipes right on the box you can try out.
When you've found two or three that really taste good to you, begin keeping those on hand for all your baking needs. Keep them sealed in airtight containers to prolong their tastefulness and usefulness, and remember to read labels carefully.
Often, people are allergic to more than one ingredient, and if soy, nuts, or dairy is a problem for you, you will need to be extra vigilant.
Secondly, wheat free cooking requires a lot of practice to get right. I mean, a lot of practice. You will probably throw away a lot of messed up cookies, cakes and bread your first week, but thats ok.
Keep going, and remember that every 'failure' is a step in the learning process. Take notes. Dedicate a journal or a binder to the process, so you have records of successes as well as failures.
Third, make some friends or meet people who are in the same situation you are. There are local and online support groups you could join. These usually have a lot of recipes and tips that will reduce your own learning curve. The emotional reinforcement is nice as well.
Yes, it may take you a few months to get used to wheat free cooking. Just make sure to have the right tools, record your experiments and learn from others and you will be on the right track.