I dont got much to start with: 1936 P Merc 1940 P Merc 1943 D Merc 1944 P Merc x2 but I want to do it, so what should I start? Should I just keep buying mercs that I dont have? Is there a different way?
Yes, there's another way, if you have the cash handy. Buy a roll of "junk silver" dimes (about $110) and they should add at least half a dozen new dates to your set. I did this in 2012 and now have 55 out of 77 dates, including AU-BU sliders of many of the 1940's P-mints. You would be surprised what shows up in junk silver rolls. Best coin so far is a 1931 VF.
The merc is my favorite series. I'd say start with the war series, 1940-1945, 18 coins, three mint marks, six years. You can find them for a couple dollars a peice and just work through it. That's how I'd start.
That's a preference thing. Use any album you like. I'd just make sure that what you use has the date/mint under the hole, that way it's easier to keep track of what you have and what you need. Thus if you have empty holes, you can look at the info under that hole and say I need such and such coin.
If you're going the junk silver route, you will be taking a lot of coins out of your album and replacing them with better ones, maybe 3 or 4 exchanges per date over the space of a year; I'd start with a cheaper album, and when the collection begins to shape up pretty nice, I'd reward myself with a better album, and "start over" again with the cheap album. Just an idea.
Depending on your taste, there are a few routes you can chose. You can go with the Junk silver route and get a very nice matching condition set after you can afford yourself the big 'uns such as the 16-D and 42/1 and 42/41-D. I have my collection started from junk stuff and I really think that if I did a MS set from 1940 and XF-AU between 1916-1939, I wouldn't have as much of a problem with my collection as I do now. I am slowly but surely upgrading my collection there and have yet to buy any of the key dates. Some have started their collections by buying the key dates first, making the rest of the collection a slide down easy street. If I could, I would have chosen that method. And a bunch of people would suggest as I would too: Read Read Read! Not only does this make you know more in the series, but you learn the basics such as grading, counterfeit detection, and you can appreciate the coin much more. Grab a book or two on the series before you do any substantial purchasing so you know what you're looking for. And most of all, enjoy the collecting.
You might also consider if you want to look for varieties such as the 1928 small and large S or the 1934 small and large D. Makes the hunt a little more fun and you more knowledgable in the process.