Need some guidance please
Define "from ZERO" - gonna make your own transistors? 
(yeah it's possible!). So you're going to use pre-built building blocks anyway.
A good way would be to get a small board with large enough FPGA on it. Something like Altera DE0-Nano or Papilio One. Hook up some required peripherals, and port 1chipMSX design over to that board. Or get a more expensive board with useful peripherals already on it.
Useful skills: general electronics, soldering, general digital logic knowledge, VHDL (and perhaps Verilog).
Using discrete Z80 + ROM + RAM etc is more hands-on, but learning FPGA logic design is probably less work than building an MSX from discrete parts...
