There are several steps to my process, and there are several more out there.  Just find the one that works for you (I have proven this one to work for me).

1. Get some cards! eBay and other online sites, as well as flea markets, are great ways to get great cards cheap. I treat my cards as learning material, to learn about different players, which is why I enjoy getting common cards. Old fashioned packs are a great way to get variety, and the seemingly loser rookies you get could be the stars of tomorrow.

2. Buy about 300 9-packet sheets. This will hold about 5400 cards, placed in front and in back.

3. Place a book aside for each of the major sports (baseball, football, basketball, & hockey) and what I call obscurities (college sports, soccer, WNBA, and other uncommonly found cards). Feel free to combine several sports in one book, depending on your personal space requirements. I combined football and basketball, and separated my baseball cards into American League and National League.

4. Separate all cards by sport (or obscurity).

5. Afterwards, place each card in a sport by team.

6. (optional) Place cards by position, and then in alphabetical order by position.

7. Place in book by sport, and enjoy your newly organized hobby.

Final tips:

Never let personal bias dupe you into trading a great card. Once, I traded my brother a rookie Vince Young for a rookie Kellen Clemens. My reasoning was that A. I was still mad at him for beating USC, and B. I thought that Chad Pennington would be injured again, giving him plenty of time on the ball. Sooner than I could say "Go Trojans!", Chad Pennington became the NFL's Comeback Player of the Year, and Vince Young nearly led the Titans to the playoffs and became one of the NFL's biggest stars.

Only buy cards when you know that you are not being duped. Paying $20 for a 5-card pack is not a good deal, unless you feel you can afford to get yourself into a high-risk, high-reward situation.

Finally, have fun! Learn. Go to a convention. Play around with your cards. Use your cards to make a fantasy team on your video games. Collecting isn't meant to be a stuffy, adult-like thing. That's investing. Collecting is fun, make it that way!