The following is my strategy. It may vary from that of others and many of these have already been mentioned.
I don’t go into a show expecting to find certain items. I have a general idea what I want in each area (diesels, steamers, rolling stock, accessories, roadnames) but not specifics. Unless you are buying new or are at a large one like York it will be a crap shoot as what is at the show. This gives me the opportunity to buy when the condition and prices are right rather than forcing a specific purchase when it is not. If you go in wanting an XYZ only you are likely to either overpay or be disappointed.
I try not to buy the first time around the show. This gives me the opportunity to get the “lay of the land”, in other words, which vendors have good selection and prices and which do not, which items are plentiful and which are not, and how prices are at this show. At any show you are likely to find one or more vendor who is "dealing". Occasionally I’ll buy on the first go-around if it’s something I really want or the price is so good I will not even haggle on it, but that is rare. I Keep notes on my phone on what I wee of interest and where it is. Yes, sometimes it is gone when I come back, but I f I wanted it that bad, I would have bought it first round and I'll see another one someday. If it is a big show you can do this on a building by building basis.
My wife often comes and does one circuit of the show and even gets a thing or to, then she hangs out while I make subsequent rounds. I can drop off my purchases to her rather than walking them back to the car and she is kind enough to make sure I get fed (I forget about food at a train show!)
At every show there are vendors who think it is still the late 1990s and their wares are a priced accordingly. It’s kind of sad because I see them bring the same way overpriced stuff to show after how, year after year. I don’t understand how they can make any money. A few of these will come way down on price to a good deal in modern times, but that is rare. I usually just keep moving.
I go in with a fixed amount of money and deal in cash. Cash in hand is more likely to buy a deal and keeps me from overspending.
Always haggle, that is my rule. Occasionally I’ll break this rule if the price is incredible or it is a very small item, but even on good prices and good vendors I still try to get a little bit off. First, it makes me feel good, second it leaves more money for other things, even if they are small things. If I can’t come to terms with a vendor, I’ll often try bundling it with other smaller items that I have some interest in and that gets us both to where we want to be. Vendors who will not haggle are generally not the type of vendors I want to deal with anyway. On most every transaction I have had with non-hagglers I have regretted afterwards. I generally don’t buy unless I get a great deal. Remember, all this stuff was mass produced so there will be another one out there later, if you are willing to wait. Always be willing to walk away, but always do so courteously. Haggling gets easier with experience, so don’t worry If you are not good at it at first.
Always be courteous and smile. Acknowledge a vendor in some way who notices or speaks to you. A good attitude is the best start toward a good deal. A few vendors are jerks, most are not. Some buyers a jerks and a good attitude immediately elevates you above them.
Bring some grocery bags in your back pocket. Most vendors have bags, but is helpful to them when you have your own and it comes in really handy when a vendor does not or has run out.
I much prefer shows over online because you can touch and feel a piece. No amount of pictures can equate to that. You can also see how the vendor treats his merchandise and how he interacts with other customers to determine if it is the type of seller you want to do business with. Plus, no shipping charges.
I get there well after the opening to avoid the line and stay to the end. As she show winds down, there are many deals to be had. They would rather carry home cash than merchandise. Many vendors pack up early no matter what the rules or repercussions are, but if you time it right, this is when they are most likely to deal.
And of course, enjoy yourself in whatever way suits you. After all you _are_ at a TRAIN show!