I've been playing Malifaux now for over 10 months now and if you play for this long, you start up a small (or very large) collection of masters. You won't necessarily play every master you buy but you'll get those crew boxes for the henchman and minions.
When I first started Malifaux I picked up "Children of December" with the December Acolyte box which is a fine start. Next was Molemen for scheme running but then I was running Rasputina (Death Incarnate), Ice Golem (Slow yet Smashy) and a whole handful of helpful-yet-easily-killed minions. So I did what I shouldn't of and bought the "Rail Crew" and played that instead for a few games, even got me some Metal & Fire Garmin with a Rail Golem. Then the bug set in, I bought "The M&SU" but found Ramos really hard to play and then bought "Master of the Paths" then "Troubleshooters" then "The Thunder"and at this point, I had to stand back and stop.
I will never badmouth others for the practice of multi-master buying, all the masters in Malifaux are fun and hell, who is it hurting? The general advice veterans give is that if you want to be competitive or simply increase your tactical sphere, stick to one master or if not that stick to one faction. If you're playing Seamus for example, maybe your next master or crew box purchase should be Molly or McMourning, at a stretch Resurrectionist Yan Lo.
If you were to see Collodi in action and want to start some puppet Pandemonium, who is going to say "Well, you're a Resser, you can't stop being a Resser!" go play with the puppets, buy Perdita if you like her, play Marcus, play everybody if you want to, If you're having fun, keep on having fun.
I personally though, prefer the single master strategy for myself now. In my early days of Malifaux I did start buying every master I liked the look of but this is a well designed game, every master is good and has massive potential and if I had let myself I would be swimming in Masters and playing with none of them. With rarely playing more than twice a week, I discovered I simply didn't have the time.
Eventually though, you play a master for long enough and you want a change of pace, I've played Yan Lo now for 25+ games and after that much time you either never want to stop or start looking elsewhere. Variety is the spice of life after all.
So, after much deliberation, I've decided to re-visit the Murder Train herself: Mei Feng.
I had a lot of fun with her at first, lots of mobility, can string together a lot of attacks and is immune to slow and paralyze which is amazing. Then I looked at her crew and noticed it was very very slow. Wk4 average. Now I'm used to slow crews in Rasputina but Raspy is long range so gets around it with 12" threat range with a supporting crew increasing that range. With Mei Feng bounding around her railwalk targets, she gets to where she needs to go but then the rest of the crew are just standing around or wasting Ap walking to where they need to be. For Mei Feng to work with me, I need to find a way to loosen the grip on the need for going solo and make the rest of the crew useful in Feng's wake. Railwalker is amazing, don't get me wrong but a crew shouldn't be just one model trying to do everything, it should work as a whole engine.
Time to go to work. Have fun out there.