Collecting is not amassing game images off FTP's and stuff. That's just leeching.
Collecting is getting the actual hardware, and the actual software, and if you want, play it. I only have bought the Amiga games I really liked back then when I couldn't purchase the originals. Obviously I don't play with the original disks, I installed them into my HD with WHDLoad and I don't have to jeopardize teh safety of my original disks.
What is the effort of downloading crap off the internet? Everyone can do it. In the end you end up feeling like you feel now.
Yes, it is a waste of time. I used to download lots of crap like this off the net, until I got bored. But never I thought about it all as a "collection". Whenever someone spoke to me about his "ROMs collection" I wanted to puke.