I think most folk set up their miniatures by class. Teos “Alphastream” Abadia explains this approach, together with suggestions for storage choices. I set up by set, after which use a useful resource like MinisCollector to seek out the figures I want. However in contrast to the older Wizards of the Coast miniatures, the newer WizKids miniatures lack any label that reveals their set. To assist set up these figures, I write the set’s initials on the bases utilizing a white, fine-tipped Sharpie paint pen.
Bonus ideas: Use a white paint pen to label your wall-wart energy blocks so you understand what gadget they energy. Additionally, in case you turn into a well-known artist and have to signal your shiny prints, the paint pen works superbly.