First, I agree with everyone who said that you need to read a lot of
good books and, if possible, take classes. Also, that focusing on
wire work is a good (perhaps ideal) way to begin.
What you’re describing sounds possible, but time consuming, and I’ve
never tried it. You might want to try just hammering the end of the
wire–instead of a “head,” you get a “paddle,” and you can vary its
length by how much you hammer. Plus, if you use really good flush
cutters, you don’t need to do much finishing. Sometimes, just
squeezing the end of the wire (hard!) with a pair of pliers can
create an impromptu head pin for a small-holed bead, but be sure to
finish it carefully, so it doesn’t snag on anything.
Other Orchidians have described the more classic “ball head pin” for
you–it’s actually quite easy to make them (you can use a butane
micro torch), but requires flux, pickle, cleaning, etc. I have
instructions for making “perfect” ones (from Chris Hentz’s workshop),
if you want to email me off list.
On the other hand, you can do what I do most often–make "fancy"
head pins by shaping the wire into scrolls, etc. Mark Lareau’s book,
All Wired Up, is your best bet for learning this and might even
inspire you to focus on wire and get really good at working it before
you move on.