Well, it's about time!
Just relax about it. Rigging a ship from WW2 is a good place to start. Most of the rigging is either stays for the stacks, or communications antennae. Followed by the light halyards used to raise and lower signals. I rarely get as far as those.
Don't use fabric thread, Use nylon line or stretched sprue. If you use nylon line, find some that is really thin, the kind used to tie flies. Going to tackle stores is fun.
Superglue is your friend. Drill a small hole in the deck where the line originates from, plunk in a tiny amount of glue on a toothpick, and stick in the end of the line. Do all of those first.
When dry, take the line up to the mast and tie it tightly. Move it around with the tip of something pointy until it's nice and tight and looks neat, then dab a little glue on it. Cut the extra off much later.
If you can leave the caps off hte stacks till last it makes the stack stays easy because when you bring the line up from the deck, drill a small hole where it meets the stack, thread it through, pull it tight out the top and glue from the inside. In little to no time you'll be clicking.
Just take it in layers and don't worry too much. Any rigging is better than none and you have lots of models to practice with.