Head First is written for the command line, which I think is the best way to begin with Java. The SCJP exam is also geared towards command line tools. IDEs can do a lot of the work for you, and hide some important details. In addition, IDEs have their own learning curve, which can make starting out that much more difficult.
I strongly suggest using the command line tools to start with. When you get to a point where you're concerned about "efficiency," then consider an IDE.
"We're kind of on the level of crossword puzzle writers... And no one ever goes to them and gives them an award." ~Joe Strummer sscce.org