First rule of matchcover collecting: there are no rules.
One of the allures of matchcover collecting is that you can build the collection you want. Forty years ago it was common to see general collectors who saved covers from every category, building a collection of hundreds of thousands or a million covers. Of course back then, every business, from dry cleaner to bank, had a matchbook available. Now, it is rare to find matchbooks in most businesses. So today we see more collectors who specialize in what they save, be it casinos, girlies, sports, artistic design, or covers from their home town. So you can save only those covers that make sense within your budget, space constraints, time and interest.
There is no fast rule about how to store and display your covers. Most collectors remove the matches and display the flattened cover (as pictured on this website). This reduces the space required for storage while offering the best long term preservation of the paper collectible. The most popular option is to place the covers in pocketed plastic pages that protect the cover while allowing easy display in three ring binders. Some collectors use cheaper options such as slotted or sewn pages to hold the covers in binders, while others keep the covers in boxes, bowls or file drawers. Again, store your covers the way that makes you happy and fits your needs.
Accumulating your collection can be done in various ways. Traditionally collections were amassed via trading with other collectors. However, in 2017 it is much harder to accumulate trading stock and postage costs make mail trades less attractive. You can find covers at freebie tables at local meetings or national conventions if you choose to attend and take the time to peruse through covers to find your personal gold mine. There are club auctions which can provide a way to find those specific covers you want if you are willing to pay for those covers. There are tons of covers in flea markets and antique stores across the country, many for sale at reasonable prices. And there is always EBay, but be warned that the prices are usually quite inflated, although you can obtain some very nice covers on that site. Again, find your covers in the manner that you enjoy, works within your time constraints, and fits inside your budget.
Bottom line; decide what you want to collect and pursue that goal. Along the way you may experience different viewpoints or ideas and you can always modify your strategy, add or subtract categories, or branch out into other ideas. Every collection should be built to make the collector happy, so enjoy your hobby.