Hey, welcome to the site. :D
*Insert random welcome picture here. Well, someone will post it.*
Anyways, the best way to get started in hacking Sonic games is to take a look around at the community. I would get a set idea of what you want to accomplish down, such as if you want to change pallets, level layouts, etc. Then I would go and download such items as ESE or SonED. To get more options than just what is offered in those programs, check out
ShacNet or Nemesis' hacking guides for hex editing info. As for utilities, such as the formeantioned ESE, SonED, pallette editors and more, I'd go to sonicology's utilities page. I hoped that help point you in a good direction. Lost (along with all the other hackers here) might be able to help you out a little bit more, as he is one of the more advanced hackers here, and he may be able to help you out on where to start (I haven't even released my hack yet, so they may be able to help you out more).