I've had good luck buying used collets on ebay. I stick with good brands, nothing Chinese. They're quite hard and difficult to damage, so used seems about as good as new, to my untrained eye. I like it when they're gouged up on the outer face, since that makes them sell for cheaper, and it doesn't hurt the funtion at all.
Making yourself a rack to hold your collets is a good first milling machine project. You just have to decide how many holes. Like, are you planning on getting every 64th? That's a lot of collets. My rack only holds all the 1/16" sizes, and I haven't filled in all the holes yet. I buy 'em as I need 'em. Leave holes for other R-8 tooling too, not just collets. If you want metric collets as well as fractional, you're gonna need a pretty big rack.