This is more one for curiosity and learning.
I currently have an Azure VM (Windows 2016 and SQL 2017) which I just use for R&D. The RDP port is enabled - no big deal as there is nothing top secret.
But just to learn more about Azure I wanted to create a VPN so I can connect via that. Googling, has left me a tad confused as how to go about this gateways, gateway subnet etc etc. I'm not sure if the articles I am reading are the right ones as whatever I try doesn't appear to work.
Does anyone know of any links that might help me start from scratch with VPN settings to connect?
You can try to set up a VPN type of P2S, you can make a Self-signed root certificate for free. And the steps are also simple. And you can follow the document Configure a Point-to-Site connection to a VNet using native Azure certificate authentication: Azure portal. I'm glad if this can help you.