Best way to go about learning a new technique?

I recently become a fan of Brian Setzer and wanted to know the best to learn his finger pick/ rockabilly style?

I have been practicing it and personally prefer keeping the pick in my hand and use my other fingers ( I can only use my middle and 3rd finger decent the pinky is taking time to come along)

since the way he does it you still lose your first finger either way.

Any good ideas or way to approach learning this style/technique?

Here is the video for reference.

http://www.youtube.com/watch?v=jgUCs72RDHs