You need to decide, firstly, if you're going to go about this on your own or if you're going to try to do this through state funding. Being a non-profit organization can help, but finding private funds will be difficult with such a rare breed.
Let me be the first to say that no matter what type of rescue you run, you'll dump your own money into it and you likely won't get it back. Rescuing is about the animals, it's absolutely not about any monetary return. It's alot of heartache, too, because you may wind up with very sick animals from owners that did not care for them appropriately. Read up heavily on hypertrophic cardiomyopathy, because you'll no doubt run into it in having a rescue for sphynx. Therefore, also search for a cardiologist in your area...I would recommend looking for someone that is board certified with an ultrasound in their clinic. You'll also need to find a veterinarian that is willing to work with a rescue, many will not take on such large caseloads of (often sick) animals. Each animal brought into your rescue will need to be tested for FIV, FeLv and, if possible, FIP titers. Each cat will also need to be vaccinated against FVRCP and rabies 3 weeks before being exposed to any other cats in the rescue to prevent disease. You'll need an area for sick cats apart from your general holding area and you'll also need an area to keep cats positive for FIV/FeLv and FIP.
Overall, being involved in rescue work is rewarding...but it's very stressful.
I agree with Pirottmommy, its a very hard lifestyle and these are going to be animals that most likely came from harsh and poor conditions. It will no doubt take a toll on you, and your pocket, but it is for the animals. I would google rescues , call one, and get in touch with some one there and ask for help and information on how to go about starting a rescue.
p.s. and welcome to Sphynx Lair Dragon fly! I hope you enjoy the site!