Not so long ago every reasonably sized town in the UK had one or more bike shops that could build a custom frame. I cannot believe this has gone during my lifetime. Anyway, the entry into frame building used to be quite low. You needed a jig, an oxy-acetylene torch, lugs, a frameset and some brass alloyed specially for brazing.
There is a supplier of all of the above in the UK that you may wish to contact:
Before investing in the whole kit you may want to have a go at brazing things together with the torch. This is great fun and with relatively simple projects such as repair jobs of non-bicycle things you can pick up experience with the torch.
Most frame-builders of yore bought tubesets with only those able to demonstrate skill being allowed to buy Reynolds 531. An even smaller elite were allowed onto 753 that you need to silver solder instead of the normal bronze brazing. You can start out with the 'gas pipe' hi-ten steel frameset, maybe to make something special such as your own recumbent. Then you can move on as you feel you want to to try the more expensive steel and fillet rather than lug construction.
I have no idea how you make the leap onto 6 and 7 series aluminium welding, but steel is a great material to work with and you will have a lot of fun keeping the lost art of frame building alive.
As for going on a course, what you really need is enthusiasm and someone to show you. You need to be an apprentice of some retired person that has skills in what used to be commonplace.
Entry into the above is really not that expensive when compared to a fancy road bike, you are getting me inspired to give it a go myself!