For the loyalty programs you don't see the value immediately, you need to travel a fair bit before those programs start having much/any return. Initially try to stick with the same couple of brands to maximize the loyalty programs. Try to apply a corporate rate code to any hotels and car rentals, makes a huge difference.
Figure out what airline local to you has the most/best routes that you want to take and stick with it. That may depend on where you want to fly too.. so spend some time figuring that out.
Basically. Pick an airline and travel with them whenever you can. Enroll in all the hotel loyalty programs but they're mostly not worth over-optimizing around. If you travel a lot, premium credit cards may make sense.
It doesn't matter much until you're travelling what most people would consider a lot. But then it can start to become significant in terms of money and/or comfort.