Your license class determines what bands you have transmitting privileges on, and what portions of that band. Probably the most commonly used portions are on the lower HF bands, 80, 40 and 10 meters.
CW as a mode is legal in any part of any band (except for 60 meters?). That can be confusing, but it amounts to license privileges first, and then where do you hear the most of what you are looking for.
Where would be a good place to start? With learning the code first, naturally! That can mean bazillians of hours practicing, or whatever it takes to get sort of comfortable with it. Part of that practice can certainly be from listening on the air. Then you can think about touching a key. And then, when you get sort of comfortable with using a key (of whatever kind), try the on the air stuff.
Sounds like it'll take a long time? Sure, while you're doing that practicing/learning it always seems like a long time! But believe me, you'll be happy for every second of that practicing later, and it really doesn't take that long (when you look back on it, not while it's going on though).
There are CW practice sites/nets all over and in the oddest places sometimes. I remember one being on IRLP, but no idea what the node number is now. It can't be that hard to find someone to practice with, just takes some looking/listening around.
Have fun.
- 'Doc