Hey OP, this is coming from an avid Lego collector who is in the service.
Your best bet would be to wait until you get out of tech school/Air Force AIT before you start collecting. When you are in initial entry training, (basic training/boot camp, tech school/AIT) you want to travel with what is on your person, or in your back pack/duffel bags. The less crap you have to carry with you from your training bases the better, and trust me, been there done that.
You can always hit up the Air Force/Navy Exchanges for toys, travel off post to a toy store/hobby shop, or set up a post office box and have them mailed to you.