He would have learned it from Aule originally, after all he was the Valar known as "The smith" :)
In Shadow of Mordor, or in the books, I forget which one, he supposedly learns it from Celebrimbor, and then later betrays him.
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.
Did Sauron originally serve Aule? He might have learned that way.
Yes, that is correct. I should probably clarified that in my original answer.