So you have chosen Southwest. Now you need to think about hotels and rental cars. Most have some program and they provide benefits to users overtime. You will also want to look at who else flies out of "your" airport as a secondary option and program to maximize points in.
You can also consider an affinity credit card to start earning miles that way. Grocery stores are also offering miles (at least Vons and Ralphs in the SO CA area. Then there is the choice of long distance carrier (and rotation of same). Each of these items are available and discussed on various appropriate locations in this forum.
The next thing is OMNI, a chance to help others and prehaps help yourself along the way. It is sort of a ponzi scheme where not one really gets "hurt".
The next thing to learn is the use of various web based travel purchase sites to get the "best" deal.
Finally, almost everything you buy on the web has some referral program where you "earn" some kind of "value units", most of which are convertible into some mileage program.
This is not at all an exhaustive list, just something to get you started. Time will be the restriction on how far you will be able to go.