What I've chosen to do is a small force for each area of the world my characters might adventure in. The usual force consists of two 5-man rifle squads, a 4-man cavalry squad, a light machinegun and crew, a light field gun and crew, and an officer. So far, I've accumulated US Marines, British in tropical gear, French Foreign Legion, Germans with Bergmann SMGs, Bolsheviks, Turks, Chinese, and Japanese. And, of course, Pulp Figures' She-Wolves. I just ordered some Italians and should have those in hand in another week.
So far, all of them have managed to figure in one scenario or another.
Forgot to mention it, but I also keep a 5-man squad of Ghurkhas, Sikhs, and Askaris to augment the other forces as required.