Or at least, how I did it.
Most Oz fans consider the "Oz Books" to be the "Famous Forty." These books are The Wonderful Wizard of Oz, and the 39 original Oz novels that Reilly & Britton (later Reilly & Lee) published.
All of the writers of the "Famous Forty," Baum, Thompson, Neill, Snow, Cosgrove, and the McGraws, produced other Oz stories and work not included in this grouping. I wrote a complete list here. I recently took to calling this "The Famous Forty Plus," or, to look cooler, just "The Famous Forty +."
Baum also wrote a number of stories that occurred in the same universe as Oz, as listed here.
Collecting these books today ranges from easy to difficult, if you have a tight budget, which just about everyone does. The reason being that after Baum's books, no one publisher has published the rest of the Famous Forty, that is, after Reilly & Lee. Here's a photo of my collection (minus my Magical Monarch of Mo, which I was using for reference at the time):
The first Baum book you see in my present collection (I had some paperbacks that I either gave away or discarded after they fell apart) I got years ago, probably in 2001. It was partly a gift from my father, and partly use of birthday money from my maternal grandmother. (I have six siblings, we were used to not having a lot of extra money.) That was Little Wizard Stories of Oz.
The next one was The Wonderful Wizard of Oz. I saw it at a used bookstore my father would frequent, along with a water damaged copy of The Emerald City of Oz. Dad knew which one I really wanted. I'm not sure if he really saved my allowance, or used store credit, but after a few weeks of extra dish washing, it was mine.
Aside from the afore mentioned paperbacks, I didn't get many other Baum books until I started working. Some of Baum's "expanded universe" books I got from ordering through bookstores and Dad helped with those a bit.
It wasn't until 2005 that I finally began completing my collection. I'd gotten a job in the previous year and was doing pretty well at it. I would get my check on payday, cash it, then take it to Commerce Bank, and get a Visa gift card for about $25. (I was still budgeting.) Then, since I didn't have home internet, I'd go to the library and hit Amazon and other online sites, usually buying used copies. After getting an ex-library Ozma of Oz, I learned not to be too cheap. I think I threw that one away due to all the stamped pages and stickers, which tore it when I attempted to remove it.
I also picked up a number of other books, including just about every other Baum book in print that was in an edition worth collecting. (So I passed on the plain text only books.) It got easier after I started a bank account and got my own debit card.
One of the first big purchases I made online was a complete set of Hungry Tiger Press' Oz-Story Magazine. This was really my first "Plus" acquisition, as it contained two new short stories by The Hidden Valley of Oz's Rachel Cosgrove Payes, and the first printing of The Rundelstone of Oz by Merry Go-Round in Oz's Eloise McGraw. Also, there were various other works by Baum and the others as well, including The Woggle-Bug Book, but I already had the text of that in Hungry Tiger Press' edition of The Visitors from Oz.
So, there we were, collecting Baum books off and on. Every now and then, I did think, "I should look into getting the rest of the Famous Forty," but never did. I picked up other Oz books by other authors, but none of theirs. Closest I came to it was Hungry Tiger Press' Spectral Snow by Jack Snow, which had the story "A Murder in Oz" in it.
Finally, after buying a pricey and disappointing Oz book, one Oz collector and friend named Marcus Mebes decided I needed something to wash the bad taste out and gave me copies of Speedy in Oz and The Curious Cruise of Captain Santa, as well as my own copy of Who's Who in Oz, all of which I was glad to read and add to my collection.
Marcus and I have since worked out some exchanges for later Oz books, and he kept an eye out for books I was looking for, whether he could get them for me, or if they were for sale somewhere at a good price. He also rebound the pages of a first edition of Kabumpo in Oz for me in a new cover, which was sadly missing a couple pages, but at least I have a unique editon!
Another friend, David Tai, had a couple raggedy Reilly & Lee editions of Pirates in Oz and Jack Pumpkinhead of Oz. He sold them to me, but sent them to Marcus, who managed to rebind them and sent them on to me.
Lest you think Marcus did a lot of the work, my copies of The Giant Horse of Oz, The Hungry Tiger of Oz, and The Hidden Valley of Oz, I bought at the 2010 Winkie Convention. I found a first edition of Handy Mandy in Oz in a only slightly battered condition for cheap on Amazon, as well as The Wonder City of Oz and The Scalawagons of Oz, early Reilly & Lee editions (advertised as first editions, though I'd have to get them looked at to be sure) for about $40 each on Abebooks.
Captain Salt in Oz was an interesting one to pick up. The most affordable one was available on Amazon UK, even though they said they shipped from the US, and they would only ship to the UK. So, I had them send it to a friend in the UK, and she sent it to me.
The final two books I needed to finish off my collection were The Runaway in Oz and Merry-Go-Round in Oz, both of which I ordered from Books of Wonder. I also since picked up the hardcover edition of The Rundelstone of Oz.
In addition, I also managed to get Jack Snow's Dark Music and many of Eloise McGraw's non-Oz books. Working on getting more of Thompson's non-Oz material. I think I'm only lacking her Oz work that appeared in Sissajig and Other Surprises.
So... ...It took me ten years to complete the Famous Forty. Thus, when I say I wish they were all readily available, I mean it. It would have made it so much easier. Baum's books are available in uniform editions from Dover, Del Rey, Books of Wonder, and now the Bradford Exchange's replica series, but not Thompson, Neill, Snow, Cosgrove or the McGraws' books. Unless you have the money to get all of them in Reilly & Lee editions, which few people do. (Actually, first editions of The Wonderful Wizard of Oz were shorter than the Reilly & Lee books.) And even then, the books outside the Famous Forty that are still considered Oz stories aren't in uniform style with them. Sunday Press' Queer Visitors from the Marvelous Land of Oz ranks as one of the biggest Oz books ever, and no edition of The Woggle-Bug Book has been the same size as one of the Oz novels.
Properly sized reprints of Little Wizard Stories of Oz are shorter than the other Oz books, and the original editions of Thompson and McGraw's books as published by the International Wizard of Oz Club were oversized paperbacks. They were reprinted a few years ago in hardcovers that are uniform with the Books of Wonder Emerald City Press hardcovers (they didn't use this format for the Baum reprints), and most of Hungry Tiger Press' hardcovers. Lulu hardcovers I've never seen, but I believe they have a size about the same. These are the same height as the classic Oz book editions, but not the same width. (The originals had wider margins to the sides.)
It's something I wish could be rectified, but as seventeen of the Famous Forty are under copyright, a publisher probably wouldn't be too crazy about working out the rights. Still, you'd think these copyright owners might look into ways to make some money off of their properties, even if it was an e-book or print on demand edition.