Go about it more intentionally than, "I have some money left from my paycheck and a set's on sale".
Look at what you have and what you paid for it. Set goals on when you want to sell it (double price, triple price, when you judge it's reached the apex of its value?)
Set a buying budget that fits in with your overall finances for investment. I personally don't believe in keeping all my eggs in one basket investment-wise, so I invest in our business, in a variety of mutual funds of varying levels of risk, etc.
Once you've spent your Lego investment money for a given time period (weekly, monthly, quarterly, whatever), stop buying until the next time period's money is available. There will always be another deal, you don't have to buy just because it's on sale.