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