Welcome to the Guild, great choice.
I started with just the Lady J box, along with three others who also just bought a starter box. We played some 35 soulstone games and it was a good way to get to grips with the system before expanding the army. We then added one or two other boxes so we were at 50 soulstones and expanded from there.
So I'd say buy one master box you like and play some games, then see where you want to go with the faction.
Also Vagrant Story - best Square game.