He would have learned it from Aule originally, after all he was the Valar known as "The smith" :)
Most of Sauron's knowledge of crafting probably came from the Vala Aulë (the Smith of the Valar). The Shadow of Mordor seems to have it backwards; Celebrimor would have learned from Annatar, not the other way around.
In Shadow of Mordor, or in the books, I forget which one, he supposedly learns it from Celebrimbor, and then later betrays him.
Did Sauron originally serve Aule? He might have learned that way.
Yes, that is correct. I should probably clarified that in my original answer.