Rules. The first rule is, there are no rules. If you find a pen you like, and it writes the way you want it to (and you can afford it), buy it. What seems like a lot of money today may turn out to be a wonderful investment in writing, fun, and even value.
Compare prices. It’s a good idea to check with more then one seller, as pen prices vary widely. Also, as with any hobby, there are fads in pen collecting. A different file discusses general influences on prices and collecting value (Valuing pens.).
Join the Pen Collectors of America. Not only do you become part of a group of like-minded folks, but you get the use their extensive library, and receive the really wonderful Pennant magazine quarterly.
Attend a pen show. If you haven’t done so, try to find a pen show nearby where you live. A listing of pen exhibitions is maintained by the Pen Collectors of America (www.pencollectorsofamerica.com,). Admission is nominal, and display of pens is awesome. Also, exhibitors LOVE to talk pens, so it's a good way to expand your knowledge,
To specialize or not. Some collectors concentrate on one brand (say, Conklin), or one model (e.g., Parker '51 in all its variations. Others buy vintage pens because of their appearance or how they write, and others concentrate on possible increases in value. In my personal opinion, it's to the collector's advantage to choose on the basis of how the pen writes, and then adopt a secondary goal, such focusing on one era, model, or make.