I started one a few months ago, but I'm still a long ways away. I'm less than 300 cards into the set. But it's been fun thus far. I've been looking for VG-Ex to Ex with no creases, bends, indentations or wrinkles and decent centering, about like the card pictured below.
As far as costs involved, I traded for a lot of around 200 to start. There were probably 150 different in that lot. I believe I traded about $150 in random inserts, RCs and refractors from 2019 and 2020 products. It was a nice way to get started. Since then I've traded for some at the LCS, bought a few at another LCS, traded for and bought some on here and Beckett.
Overall, I probably have about $150 into the set thus far. I don't have Mantle or Mays or Williams, but I've got lots of stars like Spahn, Hodges, Kluszewski, Doby and Ashburn. I also have Maz RC ($23), Martin ($10) and Colavito RC ($21) incoming. So that will add some more value to my set.
Then there's the tougher, mid series everyone's mentioned. It is a little more difficult to find, and they sell closer to BV than the other cards in the set do. But they're obtainable.
Anyway, hope this insight helps. Good luck if you decide to build the set.