By far the best and most efficient way is to buy groups(large or small), partial sets, even complete sets and keep the ones you need or want to upgrade and sell the rest. It allows you to get HOFers and tougher SP's, Variations, etc at the cost of near, or barely above the commons that make up most of the group. Now this is not as easy as it used to be with the advent of grading out groups and selling them individually, but these lots can still be found in many, many auctions and even ebay sometimes and on the BST here.
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