Spinning in general takes practice, and the first unsuccessful attempts are definitely frustrating, whether you're using a spindle or a wheel. I personally found spindle-spinning too slow, because of the whole needing to wind the yarn on, and then winding it off the spindle once it gets full. My arm also got tired from holding the spindle up in the air. I also found it difficult to join new roving, since the yarn is getting pulled on by gravity and the weight of the spindle. I think the spindle IS a good place to start though...that way you can gauge whether you have the patience/interest to do spinning in general and whether it's worth it to buy a wheel.
I bought a wheel after trying a spindle, and I like it MUCH better than the spindle. Of course, a wheel is MUCH pricier than a spindle...In the end though, whether you used a spindle or a wheel, it is definitely cool to be able to make yarn!