Love them! I keep telling myself that one day I am going to do this period...!
Start doing it as a Skirmish game, e.g. with say Fist Full of Lead rules.
About a dozen figures & you are away. That would be 6 figures a player.
Then, if you enjoy it, add:- another 6, a small building, etc.
Does that work? You bet! I started Medieval using Bill Lammings Skirmish
set of rules. I mounted Knight & 10 Infantry. My first (ever) opponent did
likewise. Then we each added a few (other infantry, more knights, peasants,
a bombard etc.) before I drastically reduced the collection it was at ten
file-boxes (this was way before Really Useful Boxes) full.