Different strokes for different folks.
When I started Java about 15 months ago, I had only the vaguest idea about OOP but nearly 20 years on and off experience in programming in a wide variety of disparate languages. I don't think I would have had the patience to go through the tutorials one by one, and I don't think it would have speeded up my learning process.
I was attracted to Java as the only easily available platform for me to make some small applications for my mobile phone. So I scouted around, got me a free NetBeans CD, and got started.
Initially, even the API didn't make much sense. In my first few MIDlets, I allowed NetBeans to "implement all abstract methods" and only after that googled to know something about the MIDlet life cycle and what should go in those methods. And it was a few months before I even learned what makes a method abstract, and why it has to be implemented.
While such features may jump-start a seasoned (if amateur) programmer, I feel they could hinder the learning required to build a proper foundation of knowledge and understanding needed for a serious student who is looking ahead to a lifetime of professional development.
So my view would be: If you're young, learning Java as a first programming language (or among the first half-dozen, really) a few months of sticking with a decent code editor, one that provides syntax highlighting and indentation, wouldn't hurt. Getting familiar with the command line can serve in other ways not related to Java.
On the other hand, if you have decent experience in developing in more than one language, are familiar with programming idioms like control flow and variable scope, starting rightaway with an IDE can actually help you to learn the nuances of Java that didn't apply to the languages you worked in earlier.
Just my 0.02 (ok in terms of bulk 0.04

)
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