I'll echo the sentiment to at least start small.
I have two collections: a souvenir collection of pins that I just picked up as mementos of parks and tours and things (i.e.: Disneyland 50th anniversary pin, Walt Disney Family Museum pin, etc.) and my proper collection of things I'm deliberately trying to get. That proper collection originally started as part of my souvenir collection and evolved out of that. Originally it was very narrow: only pins in that subject matter but with Mickey and Friends characters on them. If it could be helped, I loved finite sets that only had five or six or however many pins in them. Those gave me definite goals to aspire to, that helps keep costs down. Having that base has then allowed me to branch out a bit while still keeping focused (i.e.: pins in my subject without Mickey characters on them, or only one or two pins from other subjects). I don't do a lot of trading (I may have 6-12 traders or so), and at this point have pretty much completed my collection to my satisfaction. I've thought about starting another, but I haven't really been able to settle on anything that I could handle realistically in the same way.
I have bought on the auction site with some regularity, but there are ways to do that well if you keep on your toes. One thing that helps is picking an obscure theme that isn't likely to be counterfeited. I stay right away from Hidden Mickeys, Vinylmations and basically anything new and hot, as well as staying away from those big lots. If it comes in original packaging and backings, that's helpful, and only buy if there are photos of the actual pin (front and back) instead of stock photos. When in doubt, don't buy. It's a minefield, but so far as I can tell I've been pretty lucky. If you're wary, stay away from the site altogether (unfortunately for me it was a necessary evil, exactly because my subject is so obscure).
However, if you're into the adventure of trading, then certainly pick up those cheap starter packs at the parks and get trading with them. It can also be a minefield, but just be aware of what to look for and you should be fine.