I am one that thinks buying a set is the way to start. In some cases the entire set is way cheaper than one specialty tap and die. The sets gives you a wide range to experiment with, not only for making pens but also for whatever else you might come up with. The Harbor Freight sets are reasonable and have a full range of metric and SAE. $40 for a set that can be used for a lot of things is better than $40 for specialty tap that you may or may not use more than a couple of times. Every so often you will find some used specialty taps and dies in the classifieds, because the buyer bought them and realized that making the specialty pens were not there thing. But you never see a full set for sale, because they have a lot of uses, not just pen making.
When I find I am using one of the dies or taps quite a bit I usually upgrade to a higher quality tap or die in my set. The higher grade tap and dies cut better and last longer, even the best grade of taps and does do wear out.