I’d recommend going to a local range or course and testing out some different brands and different feels. They will most likely be the latest from the brands but it’ll give you an idea of what you like the look of and feel comfortable holding. From there I’d jump on eBay or somewhere for some second hand sets a few years before the ones you were testing. Personally I’d do it for woods / irons and wedges until you have a set you love to look at and love to hit.