First of all you should know about the history of Russian nesting dolls. You can search about them online or find material in libraries. Generally many Russian government sites carry separate sections for information on these dolls.
Also know about the types, sizes and colours of these dolls. Finding this information is necessary if you have just decided that you will collect Russian nesting dolls. Otherwise, finding right pieces will be difficult for you. So you should have some information beforehand.
Look for the monetary aspect of the passion or hobby, as you will require some healthy amount to buy these dolls at a shop counter or online. You can look for places where dolls are offered at low rates for certain reasons and buy them.
Another important aspect of these dolls is their maintenance and storage. Since a majority of dolls are painted on wood pieces, they will need to be polished on a regular basis to prevent their original colours from fading. You will also have to make sure that these dolls are stored properly so that they are not broken or damaged in any way.
You can find these dolls in many countries, other than Russia itself. You can either look for buying them at antiques and gift shops or else can buy online from an auction site in your own country or from Russia and then get them shipped to your place.
It can take some time for you to increase your collection. If you are a tourist you can buy a doll or two during your every trip and thus help yourself raise the number of dolls you collect. It will also depend on the amount your are willing to invest to fulfill your passion, and it can take time accordingly.
You can also let people around you know that you are into the passion of Russian nesting dolls collection and they can safely donate a piece to you if they have any with them. You can also use your connection on the social networks to let your friends or contacts know about your passion and can help you in any way to fulfill this passion.