I have found it best to start with HOFers. There are occasions it doesn't work out, then you get the most interesting player you can find...somebody like Greasy Neale. The good thing about going in that direction is if you decide to go for the set, you immediately have some good pieces to plug in. If you get dupes, they are easy to trade or sell. While not vintage, I recently had a chance to buy the bulk of a 1955 set. I already had the Koufax and the Clemente and contacted the seller about what he would take less the two key rookies. He gave me a healthy discount as he knew he could sell them pretty immediately, I got a great buy on my (now complete) set and it worked out for everyone.
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