To address these points:
DO NOT BUY MILES ON EBAY. This violates just about every milage program rule and will possibly leave you stranded in a foreign country with the airlines voiding your ticket.

As for Milage Runs for Dummies, lets lay out some guidelines to get the discussion going:
1: Think about taking trips to places far away during off season times. The airlines will drop the fares and add all kinds of bonuses to fill seats.
2: Think about routing yourself through a couple of extra places to make the trip even longer at no extra cost.
3: Get on the plane and go.

Milage runs are especially lucrative for the members of the 'elite' levels of the programs, as they often get double credits and may have upgrade certificates that make the long flights less of an ordeal.

So, have you thought about spending a weekend in Tokyo or a day in London?

One last thing I must warn you about: YOU ARE STARTING DOWN A SLIPPERY SLOPE. Becoming a milage junkie is probably a worse addiction than heroin, booze, nicotine, or anything else I can think of. Be forewarned. The highs are really high, but the lows you feel if you see a promotion you can't take advantage of are really low. As I tell my son, Get a good education so you don't turn out like your dad.

(removing my tongue from my cheek long enough to say)
Enjoy