I'll bite, if for no other reason, because you appear to be a Cubs fan. I am a set builder. Vrooomed, as always, has offered good advice. I'll try to add to it. In no particular order: figure out what counts as a "set" to you, or you'll go crazy. Parallels? Inserts? Misprints? Whatever you decide is correct.
As to strategy, for me, if I'm at the 50% level or so or less, I buy lots on eBay. I don't really even worry about what numbers are in the lots, because it's likely that at least 40% of them will be new to me. (They're always commons, so I subtract out stars when I do the math). And some of the doubles will upgrade cards I already have. Buy from well regarded sellers. Know what condition, generally, you want the cards to be in, with a bit of wiggle room. Know what a fair price range might be and how much you're willing to pay for shipping. And keep building from there. I sell off the doubles and restart the whole process. As I get near 2/3 or more done, I start to target more. I buy lots where the seller has listed every card, so I know what I'm getting -- some doubles are still ok, but I don't want to buy a 25 card lot with 18 doubles. Of course, if you have a local card shop, they can sell you exactly what you want. And when I get down to needing just a few cards, I search for those cards specifically and buy them one at a time, if I have to.
It's probably a good idea to scope out a bit before embarking on a set completion mission, as well. Know how big the set is and if there are cards that, no matter what, will exceed your price range. In other words, make the goal realistic. I'm usually working seriously on two sets at a time, and dabbling in others. .
People here also looooove to trade. I haven't traded very much, but I've never had a bad experience here.
And there are other sites that some prefer over eBay -- COMC comes to mind. And others.
Regardless, although I've added a random element to my collecting, I still love collecting sets, love looking through the binders of every card the company issued.
Good luck.
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