How do I collect?  That's a pretty broad question.  
First off, I only count physical games.  
Now, as for my buying.  I used to do in the wild mainly.  I amassed a huge collection by doing that. I tend to brag that 90% of my collection came outside of eBay.   I still look, just not as hard as I used to.  I actually had fun find this weekend.  I still get that little thrill from getting a deal, even if it's a small one.  
I've had to go to eBay more in the last little bit, but I still say less than 10% come from eBay.  I make a lot of my deals through this amazing place or NintendoAge.  It's not near as much fun to just shop for stuff.  I like the human experience.