Certainly good advise above.
Here is my 2 cents...
First learn the main generic catagories...mayfly, midges, caddis, stonefly.
Midges are easy...they are tiny. The key is color. Start with light, medium, or dark.
Mayfly. To identify that a bug hatching is a mayfly, look for hatching insects moving like a hot air balloon....somewhat slow and seem to float in the air. These flies are easy to catch in flight. catch one, and see the color.
Caddis. Caddis are faster moving and erratic fliers. They tend to zig zag around, and move sporadically. They are - due to their flight motion and speed, a bit harder to catch in flight. Find one having a hard time getting off the water, and grab them on the surface to identify color.
Stonefly. Stoneflies are similar to caddis in motion making them a bit harder to gauge. However, in general, they tend to be a bit slower and less erratic than caddis flies. remember, stoneflies do not hatch like the others, instead they crawl to the shore and hatch on land.
Sizing is important, and the best way to learn this is to go to a known hatch. Say Spring Creek early sulphur hatch. These are known to be size #14. Observe the the known hatch, and see what a #14 mayfly looks like in flight. This (or whatever known hatch near you) would then be your reference point for sizing other hatches. Try to see known hatches of mayfly, caddis, and stonefly to get reference point for each general catagory of aquatic insect.
For subsurface, flip rocks. get a streamside insect guide ( I learned with the Orvis one). Catch what's under the rocks and match to the book. Also, if you see bugs in the air but few risers, use what you see. Identify if mayfly, caddis, stonefly, or midge are present, then use streamside insect guide to choose appropriate under water fly.
So....
1. learn to distinguish if insect is mayfly (hot air balloon), stonefly, caddis (zig zaggers), or midge (tiny).
2. catch one for color.
3. Size by comparing to a known hatch size.