CHIPS FOR THE CHIP GOD
Welcome. You're in good company here, methinks.
As you're already well aware with any wallet-thinning hobby, chipping can get out of control way quicker than you realize. I originally came here for chips and then realized I needed dealer buttons, cut cards... and various other accessories. Since you're versed in 40K, this shouldn't surprise you.
As for getting started, the standard advice here is to get samples. There are countless varieties and materials to choose from. You'll ultimately want to physically interact with them - shuffle them, splash them around, etc. Check out some giveaways and the marketplace. Friendly community members often give out samples to newbies so you'll want to keep an eye open for those.
I am curious - when you said you were interested in building a collection - what exactly did you mean? To use a 40K analogy, are you looking to just collect pieces of each faction? If so, we'd probably call this a singles collection. You can pick up loose singles here on this site
(oh boy that is going to do wonders for the SEO for this site) or there are trade shows dedicated to collect chips.
Or perhaps you want to collect a playable set for a poker game? That'd be like choosing a faction and start forming an army in 40K. If so, that will take some more work pending on which poker chip you fall in love with. Some chips are near impossible to collect en masse while others are plentiful in supply. It all depends on what you're after.
Overall, give yourself a lot of time with your quest. Enjoy!