When I was younger and had more time than figures I did that a lot. I can remember cutting out lots of cardboard squares to use as proxy figures for Tacforce, which was one of the first commercial rulesets I bought.
At the moment though I think I am in a similar boat to several of the other posters. I tend to buy models based on what period I am interested in and then figure out what rules I am going to use. (And I am more reluctant to try new periods except for skirmish because I am running out of space to put it all!)