First things first, you need something to collect! It doesn't have to be big or small, expensive or cheap, it can be whatever you want it to be.
To make a good example lets temporarily choose rocks as something to collect.
Usually when we choose to collect something there's not going to be a lot of it laying around, and if they're is, we're not going to want all of it. Usually we'll pick things that specifically appeal to us for one reason or another. For now, let's say rocks that are shaped like something familiar is what we're keeping an eye out for.
Now when I say keeping an eye out for familiar shaped rocks, I mean don't go out of your way on a regular basis searching for pieces of your collection. While that is one way you can do it, your collection will kind of build itself as long as you remember it occasionally and each piece will have more meaning to it.
You will remember the piece that you found here, the piece that someone special, a friend gave to you there, and the piece you started with and more.
If you're collecting something for the money, unless it adds value to what you plan to eventually sell, don't worry about remembering where you got it, or you might get attached to it. Then next thing you know, you'll have a hundred collection of things and no place to display them. So I suggest keeping your collections few, except for ones you may be planning on selling.
Now, start collecting something! Try something small and inexpensive (or free) so you can take it with you (and get it) from where ever you find it! These are all my suggestions from collecting experience, please don't