Welcome to the forum, Guy!
I think with regards to your grading vs ungraded question, it really comes down to how comfortable you feel with buying ungraded. If you've got a good feel for what the cards look like, and feel like, then by all means you can do one or the other, or both. Before I jumped into the T206 set, I spent a good amount of time learning about the ins and outs. I, too, was concerned about buying cards that were inauthentic.
The advice I give to every new collector is that you should first buy some of the tools you'll need to help you protect yourself. A good jeweler's loupe (10x is fine), a black light, and a good scanner. Get yourself a T206 card to use as your baseline, and buy it from somebody on the forum, or one of the reputable dealers listed on the links section. It doesn't have to be expensive, and if it's a little beat up, all the better. Look at it up close. Use your loupe to see what the printing technology on an authentic T206 card looks like, and whenever you buy a new card in the future, compare that card to it.
Over time, you'll become more comfortable with identifying cards as authentic. Things like uniform corner wear, slight registration issues, etc will become second nature to you. You will get a feel to pretty much look at a card, and have a good idea immediately if you're looking at something to add to your collection, or something to avoid. And if you ever have questions, scan the card, post pictures here, and ask for help. There are a lot of incredible, very knowledgeable collectors here who will help you.
Remember, too, if you buy graded cards, to buy the card, and not the grade. All a graded card is is somebody's opinion. Look at the card itself, and don't make any assumptions. Apply the same skepticism to a graded card that you would an ungraded card. If the slab says it's a PSA 4, does it exhibit the kind of wear you'd expect from a PSA 4? Check the slab for signs of tampering. Do you see any out of the ordinary frosting on the slab? Is the slab easy to bend, or is it stiff.
Figure out how you want to collect the said, and as has already been mentioned, don't worry about changing direction. Once you've been collecting a while, it's perfectly natural to change your mind. I started off buying SGC 40 graded cards, and I've discovered not too long ago that I like a little higher grade. I'll upgrade some of the ones I have later, but for now, I'm looking at a PSA 4/SGC 50 as my baseline.
Just remember to have fun, and never be afraid to ask questions. I'm the biggest newbie there is on this forum, and nobody's chased me away yet
Remember that a lot of the questions you'll have, others had when they started out. And they'll likely already have been discussed here. Use the search function, or Google, to find your answer. If you can't locate what you need, fire away.
Feel free to shoot me any questions you might have. I check this place once a day, and I'm happy to share the knowledge I've gained in the year since joining Net 54.
Good luck!
Bill