In reply to fraidycat: With bolt on holds (into concrete or brickwork) you would need an expansion bolt for every hold location, this would work if you only want a limited number of holds and don't plan to move them around to keep things interesting.
A plywood board is way more versatile, you can move the holds around as you get better. You can also set the board at an angle, this will provide a much better challenge especially if you have a limited area to work with. If you are a beginner a 15 to 20 degree overhang would be good.
I made a pretty good board in a garage with 3 8x4 plywood panels, they could be pushed back against the wall to allow a car to get in. The boards can be set at various angles via a hinge at the bottom and chains at the top.
My mate has a great training board set at 45 degrees in a tiny spare room.
Good luck with it.
http://www.ukclimbing.com/articles/page.php?id=7