I learned out of Dan Solow's How to Read and Do Proofs and it was great (this was about six years ago and the professor had used this book for many many years). It's also very cheap:

http://www.amazon.com/How-Read-Proofs-Introduction-Mathematical/dp/0471406473/ref=ntt_at_ep_dpi_3

http://product.half.ebay.com/How-to-Read-and-Do-Proofs-by-Daniel-Solow-2001-Paperback/948996&tg=info