Make no mistake, I am a beginner myself, but I have found these tips to be very helpful. Depending on your choice of mp3 players (I use several different), the Winamp player has a plugin called "pacemaker" which you can use to slow down audio. This works great for trying to figure out those gypsy licks. You still have to have a good ear, but every little bit helps.
Also, when it comes to improvising, soloing, whatever you want to call it, I have found that it really helps to play along with rhythm tracks, and not just recordings of soloing players. This way you hear only your improvisations. Robin Nolan's gypsy series of books is a great learning tool. It teaches you the head or melody, and then you take it from there. Colin Cosimini has put out "The Gypsy Chord Book" series which is great for learning the different chord substitutions used in the songs, but the recordings on the cd are short. If you are poor, like I am, learn the chords to one of your favorite tunes and record the rhythm. It doesn't have to be studio quality, a boob box will do. Then you have a rhythm track to play along with.
I think the most important thing to remember is this is a difficult form of music, you're going to get frustrated, but keep at it! The small victories you have now and then are highly worth it.
I hope this helps someone!
This is a great tool, too:
Although you are poor, you should at least save your time
Barengero, that site rocks! I would have never found it in a million years.
Transcribe (shareware, but worth- slows down, loops, pitch analysis) from seventhstring.com (i think).
and Djangology.net (there are a bunch of mp3s of rhythm tracks).