First off, welcome to the fray!
Here's my 2 cents to get started affordably and quickly.
1) As for building the collection: Just like stated above, I HIGHLY recommend starting small (like patrol or 500pt games). This will let you toy with units, even proxy alternate models to play with (before you buy models). You might even be able to borrow someone's minis beforehand. Friendly games usually are ok with proxied models if you're learning what works and your style. I played with a carboard monolith back in the day (sized properly, even had straw guns, but cardboard none the less. Also did 32oz Gatorade bottles primed black for drop pods when I started marines). Always hate buying something, then never using it. We recently finished an escalation league recently that is great for new players building armies (starts small, ends around 1500pts). If cost is a concern, consider buying models from another person (rather than new). Of course stripping and such is an issue, but it's much less cost. If you prefer pristine models to start, then buying a kit is nicer. Can often find on sprue or new kits opened too.
2) Where to play. We have a clubhouse that plays 40k usually every Tuesday (currently in a 2k league). But yes, game stores are also good options. I don't know when Guardian does it's league, but I think it's Wed? Also, numerous other game stores (find your local store and ask?). Also, our forum offer HUGE access to lots of players. You can always post, looking for a friendly game and see what happens. Make sure to clarify your city (as we have a large collection of groups on our boards).
3) Etiquette: Have fun? Painted models are only really needed for 'events or tournaments'. Typically a 3 color minimum is required. That said, I play friendly games (even our current 40k league with some unpainted models). I'll be working on improving that, but it's acceptable for friendly games or less competitive environments. As for conversions...I've seen SUPER converted models that aren't even GW models. That's fine, as long as it's clear what is on the mini (WYSWYG). Most events would allow it too, because part of the hobby is innovation.
Welcome to the addiction, I mean hobby