What a nice question.
Of course, I can only offer my opinion, and I venture so since I think I have been in a similar situation.
I find myself in a position where owning many pieces simply doesn't make sense. It doesn't stop me from wanting them though.
So how I go about it is by simply collecting experiences. Luckily for me I am comfortable with the idea of temporary ownership (except in rare exceptions) and while I commit emotionally I never pre-dispose to ideas like "heirloom watches", I work in marketing 
I too have been Panerai centric, though I must admit other brands interest me more these days. Also uncomfortable by pre-disposed ideas of what it means to be a "Paneristi" but that is another topic all-together.
But I think that a few Ideas should be in the collectors set:
- should own the first dream watch you obsessed about. In my teens I dreamt about a Daytona, my father had one........I did too......check.
- should own a watch that makes you be over the James Bond Cliche................maybe an Omega, but hopefully a Rolex ;-).......check both
- should own a big watch that looks cool but nobody knows what it is........Panerai early 2000s.......check
- should own a watch that is fairly limited, your watch friends oogle about...............several Panerai A's pre-As.....check
- should own a watch that makes you feel like you are part of horologie............my first Patek, VC, APs.........check
- should own a watch that rebels against horologie establishment............Patek Aquanaut..........check
- should own a watch that gets the attention of dubious girls.........any solid gold model.............check more that twice ;-)
- should own a watch that makes you think that the value is certainly not in the watch............severeal models...........check
- should own a watch where you get picked to be on the list................Yes, I was picked once, but my name hasn't been on other lists......check
- should own a watch that has a meaningful history.................yes, luckily it was personal.....check
- should own a watch that is expensive and it makes you uncomfortable.......yes, dangerous zone..........check
- should own a watch that is simply high end fashion but you like it..........yes BB all the way!......check
- should own an iconic watch.........yessssss several, RO, Submariner, Calatrava, Overseas, Daytona, Base Panerai, JLC Pola others........check
- should try to make your watch............yes, a couple times, make some silly people very angry........check
- should be moved by your own intuition, make some silly decisions...........yes, will remain nameless...........check
- should own the perfect watch..........tried many times, but it doesn't exist..........unchecked 
Gabriel, would love to meet you one day and talk about collections. I am not a collector in the classic definition, but I have collected experiences and my fair share of smiles 
Cheers from SoCal.
Guille