I specialise in just two countries, so selection isn't so hard. I only collect mint, unhinged unless it's too rare to get in that state.
I buy the vast majority of my stamps individually, mostly online, but I also buy from auction houses where I bid by mail or online bidding form. That's the only way to get some of the stamps I'm after from Victoria (the Australian colony.) Mint examples, especially unhinged, are not easy to come by, so I scour every online site I can, auction as well as dealers. When I find one, I'm usually prepared to pay full CV because they're so undervalued compared to scarcity (Victoria that is.)
I've just started collecting US, only a few weeks ago, so I can tell you my process as I start my collection. Firstly I select a year, and with my US collection I've chosen 1940. I prefer early issues and don't collect modern. So my goal is to collect everything pre 1940

Yeah I know, a big task that will never be completed, but it's nice to have goals.

I guess I'm a fairly methodical person, so the way I go about it is to work backwards from 1940 - so the first stamp I purchased was Scott 902, the last stamp issued in 1940.

I've found Stampwants to be the best place for these issues as they're plentiful and I can use BIN to get multiple stamps from the same dealer and save postage. So I go backwards through all the cheaper stamps (including BOB.) Once I've done that I start to fill the holes with the more expensive stamps one by one as I find (and fund

) them. I kind of go through the same process, sweeping backwards picking up the higher values, then higher values still etc. Of course I often see a stamp I love or that's the right price or hard to come by - I'm not going to pass because I'm not up to that year yet, that's just my guide.
I don't need to justify my purchases, as I'm a collector, it's what I do.

I try to keep up with market prices on the stuff I'm after. I often add items to my watch list purely to see what they go for. That gives you an idea of what you can expect to pay.
Everyone has their own reasons for collecting that will affect their methods. Some love to sort, soak, flyspeck etc, or buy kiloware or collections. Others like me know exactly what they want, enjoy looking for that one item and buying it to add to their collection. You need to know what you want out of collecting and do what you enjoy.
Balf