Nice!! Did this about a month ago and I've felt better with myself ever since :)

My advice would be:

• Make a list of albums you really like, and start with those first. This is mostly to get in tune with what you actually like listening to, since storage can become a problem.
• I know you probably don't have the instant money to spare, but try to buy the music from the artist you love the most. You can pirate in the meantime, and you should definetly avoid paying problematic artists, but I think buying your music should be a goal you're aiming for; Remember, if you're not streaming their music, you're not gonna be supporting them in any way.
• Find a music player that matches your need. In my case I'm using Lollypop. An free open source player available on Linux that supports Scrobbling by default (had trouble installng plugins in other players lol). There are tons of music player for different needs, like multi-platform, support for multiple devices, lightweight, lots of customization, auto-playlists, etc.