All good advice here and I don't believe I have too much to add, but will just let you know what I have learned in the three plus years that I've been tackling the Monster.
The very best thing you can do at first is learn the basics about the set, which means the backs, differentiating the value between commons, HOFers, SLers, tough variations (tough commons, horizontals, freaks, etc.,), and different grade pricing. I'm sure there are a few others to research, but this is most of the basic that you will need to know about before jumping on the Monster's back
When I first started the set, I didn't know much at all about it and just jumped right in and luckily I didn't get burned or anything of the sort. After a short while you will learn what you prefer and things will start to go in different directions....like if you want to collect certain backs, team sets or just certain conditions. The beauty of it is that it's up to you...no one tells you what and how to collect but yourself
If you are like me, you cannot simply jump in and buy huge lots of T206's to jump start your set and spend 1-2k or more doing so. If you can, that's great, but most people aren't so lucky. I've just pieced my set together over three and a half years and I'm close to the 200 mark. I'm hoping to add around 40 a year, but I don't pressure myself to do so for reasons that Bill Gregory has already mentioned. Make this journey fun and enjoyable, not like a job that forces you to have deadlines and such.
Quite often the journey is the fun part of collecting, not the end point. Can't tell you how many people zipped through sets just so they could finish and then they turn around and sell them...what's the point of that?
Anyway...good luck on your journey!