The most difficulty I have found in searching for my ancestors is finances. When I have the time I don't have the money, when I have the money I don't have the time. What is one to do with such issues?
I will often locate an index that includes a possible relation, careful notes are key. I list the person's name, where I believe they fit into my tree, any information I can gleam from the index, and where to go when I have the money to request the information.
The most difficult part of this system is prioritizing, I try to put my direct line first, but I don't always know for certain. If I spend money and it proves to be fruitless I look at it as an addition to someone else's tree, or even an extension of my own. There are no "wasted" searches in this field, because finding someone as no relation to your own tree can still be shared with descendants of the subjects tree.
Bringing people to life, putting them upon a tree, and sharing their story is always helpful to someone.